System and Method for a Request for Cross in a Trade Matching Engine

Abstract

Systems and methods are provided to fulfill customer trading orders in an illiquid two sided market. Request for cross functionality may be implemented in a trading environment using a trading engine for the matching of trades involving financial instruments. Request for cross functionally integrates the benefits of a dual bid-ask continuous trading market model with the price and quantity trade matching systems and methods.

1 . A method, comprising:
 (a) receiving a request for cross order at a computer system, the request for cross order comprising a first order associated with a first party and a second order associated with a second party, wherein the first and second orders correspond to opposite trading positions;   (b) performing, by the computer system, a first determination of whether a portion of the first order is to be matched against a portion of the second order; and   (c) performing, by the computer system and after (b), a second determination of whether a portion of the first order is to be matched against a portion of the second order.   
     
     
         2 . The method of  claim 1 , further comprising:
 (a1) matching, after (a) and before (b), by the computer system, and against a first portion of the first order, a third order associated with a party other than the second party, wherein the first portion is less than all of the first order, and wherein a remaining portion of the first order remains after matching with the third order;   (b1) matching, after (b) and before (c), and by the computer system, less than all of the remaining portion of the first order against a portion of the second order, wherein a residual portion of the first order and a residual portion of the second order remain after the matching of less than all of the remaining portion of the first order against a portion of the second order; and   (b2) matching, after (b1) and before (c), and by the computer system, a fourth order against the residual portion of the first order or against the residual portion of the second order.   
     
     
         3 . The method of  claim 2 , further comprising:
 (c1) matching, after (c), and by the computer system, a part of the first order against a part of the second order.   
     
     
         4 . The method of  claim 3 , wherein the request for cross order received in (a) comprises additional instructions, and further comprising:
 (c2) processing, by the computer system, and in accordance with the additional instructions, a remainder of the first or second order remaining after (c1).   
     
     
         5 . The method of  claim 4 , wherein the additional instructions include at least one of fill and kill instructions or limit session instructions. 
     
     
         6 . The method of  claim 1  wherein the first and second orders are orders for a first financial product, and further comprising:
 (a1) prompting, after (a) and before (b), for submissions of orders during a first pre-cross period by parties other than the first or second party; 
 (d) receiving a second request for cross order at a computer system, the second request for cross order comprising a third order and a fourth order, wherein the third and fourth orders correspond to opposite trading positions for a second financial product, and wherein the second financial product is different from the first financial product; 
 (d1) prompting, after (d), for submissions of orders during a second pre-cross period by parties other than parties associated with the third and fourth orders, wherein the second pre-cross period is of different duration than the first pre-cross period; 
 (e) performing, by the computer system and after (d1), a first determination of whether a portion of the third order is to be matched against a portion of the fourth order; and 
 (f) performing, by the computer system and after (e), a second determination of whether a portion of the third order is to be matched against a portion of the fourth order. 
 
     
     
         7 . A non-transitory computer readable medium storing computer-executable instructions for performing operations comprising:
 (a) receiving a request for cross order, the request for cross order comprising a first order associated with a first party and a second order associated with a second party, wherein the first and second orders correspond to opposite trading positions;   (b) performing a first determination of whether a portion of the first order is to be matched against a portion of the second order; and   (c) performing, after (b), a second determination of whether a portion of the first order is to be matched against a portion of the second order.   
     
     
         8 . The non-transitory computer readable medium of  claim 7  storing computer-executable instructions for performing operations comprising:
 (a1) matching, after (a) and before (b), and against a first portion of the first order, a third order associated with a party other than the second party, wherein the first portion is less than all of the first order, and wherein a remaining portion of the first order remains after matching with the third order; 
 (b1) matching, after (b) and before (c), less than all of the remaining portion of the first order against a portion of the second order, wherein a residual portion of the first order and a residual portion of the second order remain after the matching of less than all of the remaining portion of the first order against a portion of the second order; and 
 (b2) matching, after (b1) and before (c), a fourth order against the residual portion of the first order or against the residual portion of the second order. 
 
     
     
         9 . The non-transitory computer readable medium of  claim 8  storing computer-executable instructions for performing operations comprising:
 (c1) matching, after (c), a part of the first order against a part of the second order. 
 
     
     
         10 . The non-transitory computer readable medium of  claim 9 , wherein the request for cross order received in (a) comprises additional instructions, and storing computer-executable instructions for performing operations comprising:
 (c2) processing, in accordance with the additional instructions, a remainder of the first or second order remaining after (c1).   
     
     
         11 . The non-transitory computer readable medium of  claim 10 , wherein the additional instructions include at least one of fill and kill instructions or limit session instructions. 
     
     
         12 . The non-transitory computer readable medium of  claim 7  storing computer-executable instructions for performing operations comprising:
 (a1) prompting, after (a) and before (b), for submissions of orders during a first pre-cross period by parties other than the first or second party; 
 (d) receiving a second request for cross order, the second request for cross order comprising a third order and a fourth order, wherein the third and fourth orders correspond to opposite trading positions for a second financial product, and wherein the second financial product is different from the first financial product; 
 (d1) prompting, after (d), for submissions of orders during a second pre-cross period by parties other than parties associated with the third and fourth orders, wherein the second pre-cross period is of different duration than the first pre-cross period; 
 (e) performing, after (d1), a first determination of whether a portion of the third order is to be matched against a portion of the fourth order; and 
 (f) performing, after (e), a second determination of whether a portion of the third order is to be matched against a portion of the fourth order. 
 
     
     
         13 . An apparatus comprising:
 a processor; and   a computer-readable medium including computer-executable instructions that, when executed by the processor, cause the apparatus to
 (a) receive a request for cross order, the request for cross order comprising a first order associated with a first party and a second order associated with a second party, wherein the first and second orders correspond to opposite trading positions, 
 (b) perform a first determination of whether a portion of the first order is to be matched against a portion of the second order, and 
 (c) perform, after (b), a second determination of whether a portion of the first order is to be matched against a portion of the second order. 
   
     
     
         14 . The apparatus of  claim 13 , wherein the computer-executable instructions, when executed by the processor, cause the apparatus to
 (a1) match, after (a) and before (b), and against a first portion of the first order, a third order associated with a party other than the second party, wherein the first portion is less than all of the first order, and wherein a remaining portion of the first order remains after matching with the third order,   (b1) match, after (b) and before (c), less than all of the remaining portion of the first order against a portion of the second order, wherein a residual portion of the first order and a residual portion of the second order remain after the matching of less than all of the remaining portion of the first order against a portion of the second order, and   (b2) match, after (b1) and before (c), a fourth order against the residual portion of the first order or against the residual portion of the second order.   
     
     
         15 . The apparatus of  claim 14 , wherein the computer-executable instructions, when executed by the processor, cause the apparatus to
 (c1) match, after (c), a part of the first order against a part of the second order.   
     
     
         16 . The apparatus of  claim 15 , wherein the request for cross order received in (a) comprises additional instructions, wherein the computer-executable instructions, when executed by the processor, cause the apparatus to
 (c2) process, in accordance with the additional instructions, a remainder of the first or second order remaining after (c1).   
     
     
         17 . The apparatus of  claim 16 , wherein the additional instructions include at least one of fill and kill instructions or limit session instructions. 
     
     
         18 . The apparatus of  claim 13 , wherein the computer-executable instructions, when executed by the processor, cause the apparatus to
 (a1) prompt, after (a) and before (b), for submissions of orders during a first pre-cross period by parties other than the first or second party,   (d) receive a second request for cross order, the second request for cross order comprising a third order and a fourth order, wherein the third and fourth orders correspond to opposite trading positions for a second financial product, and wherein the second financial product is different from the first financial product,   (d1) prompt, after (d), for submissions of orders during a second pre-cross period by parties other than parties associated with the third and fourth orders, wherein the second pre-cross period is of different duration than the first pre-cross period,   (e) perform, after (d1), a first determination of whether a portion of the third order is to be matched against a portion of the fourth order, and   (f) perform, after (e), a second determination of whether a portion of the third order is to be matched against a portion of the fourth order.