United States Patent [19]
`Togher et a1.
`
`[54] CREDIT MANAGEMENT FOR ELECTRONIC
`BROKERAGE SYSTEM
`[75] Inventors: Michael Togher, New York City,
`N.Y.; Michael F. Dunne, Boonton;
`Richard Hartheimer, Morris Plains,
`NJ.
`[73] Assignee: Foreign Exchange Transaction
`Services, Inc., Long Island City, NY.
`[21] Appl. No.: 830,408
`[22] Filed:
`Feb. 3, 1992
`
`[51] Int. C1.5 ............................................ .. G06F 15/21
`[52] US. Cl. ............................. .. 364/408; 340/825.26;
`340/ 825.27
`[58] Field of Search ................. .. 364/408; 340/825.26,
`340/ 825.27
`
`[56]
`
`References Cited
`U.S. PATENT DOCUMENTS
`
`4,942,616 7/1990 Linstroth et al.
`4,980,826 12/1990 Wagner ......... ..
`
`.... .. 381/51
`364/408
`
`FOREIGN PATENT DOCUMENTS
`
`512702 11/1992 European Pat. Off. .
`
`OTHER PUBLICATIONS
`Perkins, et al; “Nordex: Automated Trading for Nordic
`
`US005375055A
`[11] Patent Number:
`[45] Date of Patent:
`
`5,375,055
`Dec. 20, 1994
`
`Equities” Computers in the City; 1989 (London, 14-16
`Nov. 1989).
`“Quotron Introduces New Foreign Exchanges Dealing
`System” Electronic Banking & Finance; Jul. 1990, NL
`pp. 3-4.
`
`Primary Examiner-Roy N. Envall, Jr.
`Assistant Examiner—Ari M. Bai
`Attorney, Agent, or Firm-Robbins, Berliner & Carson
`
`ABSTRACT
`[57]
`An anonymous trading system identi?es the best bids
`and offers from those counterparties with which each
`party is currently eligible to deal, while maintaining the
`anonymity of the potential counterparty and the con?
`dentiality of any speci?c credit limitations imposed by
`the anonymous potential counterparty. To that end,
`each bid or offer for a particular type of ?nancial instru
`ment is prescreened by the system for compatibility
`with limited credit information (for example, a one bit
`?ag indicating whether a predetermined limit has al
`ready been exceeded) and an anonymous “Dealable”
`price is calculated for each of the traders dealing with
`that particular financial instrument.
`
`17 Claims, 6 Drawing Sheets
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`Dec. 20, 1994
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`US. Patent
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`Dec. 20, 1994
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`Sheet 2 of 6
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`Dec. 20, 1994
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`U.S. Pa-tent
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`Dec. 20, 1994
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`

`

`US. Patent
`
`Dec. 20, 1994
`
`Sheet 6 of 6
`
`5,375,055
`
`Fig . 7 SELECT ANOTHER
`TF/CP
`
`‘_—'—'——
`
`i=0
`RESET COUNTER
`P=O
`RESET PRICE REGISTER
`RESET QUANTITY REGISTER O=O
`SET SMALL FLAG
`S=1
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`L102
`
`_---—+ i=i+1
`
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`TF/CP/P/S
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`FROM ORDERED LIST
`(Ti, Mi, Pi, oi)
`L110
`
`RESET SSM=A6LL FLAG
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`YES
`
`112
`
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`1 18
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`
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`
`0007
`
`

`

`1
`
`CREDIT MANAGEMENT FOR ELECTRONIC
`BROKERAGE SYSTEM
`
`TECHNICAL FIELD
`The present invention relates generally to a elec
`tronic brokerage system having a communication net
`work connecting traders dealing in ?nancial instru
`ments, and more particularly to a computerized system
`for distributing anonymous price quotes on a selective
`basis in accordance with previously established credit
`limits.
`
`5,375,055
`2
`utilize the credit information until a match has been
`found between a Buyer and a Seller.
`Consequently, unless he attempts to execute a trade at
`the best price currently displayed on his screen, a trader
`using the prior art anonymous matching system has no
`way of knowing whether he has credit with, and is
`willing to extend credit to, the anonymous counterparty
`offering (bidding) the best price currently displayed on
`his screen and thus whether any attempt to buy or sell
`at the displayed price will be subsequently invalidated
`by the system for lack of such credit.
`
`25
`
`35
`
`BACKGROUND ART
`15
`Reuters’ published European patent applications EP
`399 850, EP 407 026, and EP 411 748 disclose an auto
`mated matching system for anonymous trading of for
`eign currencies (or other financial instruments) in which
`a single host computer maintains a central data base
`consisting of all the trading instruments available for
`trade, credit information, and the various bids and offers
`that are present throughout the system. The host com
`puter uses me information in its central data base to
`match active bids and offers (as well as executing any
`transitory “hit bid” and “take offer” transactions) based
`on matching criteria which include the gross counter
`party credit limit between counterparties to a potential
`matching transaction, price, and available quantity. To
`30
`that end, each client site establishes and may subse
`quently vary or reset a credit limit for each possible
`counterparty, which is used by the host computer to
`establish the gross counterparty credit limit for each
`possible pair of parties and which is equal to the mini
`mum of the remaining credit (initial credit limit less any
`applicable transactions that have already been exe
`cuted) from the ?rst party to the second party and from
`the second party to the ?rst party. The host computer
`blocks completion of an otherwise eligible matching
`transaction between a given pair of potential counter
`parties when the transaction has an associated value in
`excess of the applicable gross credit limit. In that sys
`tem, the various client site computers (keystations)
`merely maintain and display a restricted subset of the
`information available at the central computer, such as a
`predetermined number of the best bids and o?‘ers, and
`communicate credit and other transaction oriented in
`formation to the host computer for execution. How
`ever, in an attempt to preserve the anonymity of the
`parties, the client sites do not have access to any credit
`limits set by their possible counterparties, or even to the
`identi?cation of any other party to a particular transac
`tion until after a transaction has been completed.
`Thus, in the known prior art system, con?dential
`counterparty credit limit data is maintained in real time
`and utilized as part of the trade matching process by a
`central host computer. As a consequence, each client
`site has no way to determine, prior to committing to buy
`or sell at a displayed price from one or more anonymous
`counterparties, whether it is in fact eligible to respond
`to any of the bids or offers currently being displayed.
`The client site is connected to the central host computer
`by telecommunication lines; the host computer is not
`under the direct control of the party providing the
`con?dential credit limit data and thus provides potential
`opportunities for unauthorized access to the credit in
`formation, even though the host computer does not
`
`65
`
`45
`
`50
`
`55
`
`SUMMARY OF THE INVENTION
`It is an overall objective of the present invention to
`provide an anonymous trading system which can iden
`tify the best bids and offers from those counter-parties
`with which each client site is currently eligible to deal,
`while maintaining the anonymity of the potential coun
`terparty and the con?dentiality of any speci?c credit
`limitations imposed by the anonymous potential coun
`terparty.
`To that end, each client site preferably provides the
`system with only limited credit information for each
`potential counterparty (for example, a one bit ?ag indi
`cating whether a predetermined limit has already been
`exceeded) and each bid or offer for a particular type of
`?nancial instrument is preferably prescreened by the
`system for compatibility with that limited credit infor
`mation before calculating an anonymous “Dealable”
`price for presentation to any of the traders dealing with
`that particular ?nancial instrument.
`In a presently preferred embodiment, the prescreen
`ing is a simple check to determine whether any credit
`remains between the two possible counterparties to the
`potential transaction, and thus may be performed using
`a simple yes/no Preauthorization Matrix before any bid
`or offer is transmitted to a particular client site.
`In accordance with a preferred embodiment, such
`Preauthorization Matrices are maintained at each of
`several regional nodes (“distributed nodes”) of a distrib
`uted processing communication network, with each
`such distribution node being connected by correspond
`ing individual permanent links of the network to those
`client sites (“access nodes”) for which it is responsible
`for distributing market information including custom
`ized “Dealable” bid and offer prices in addition to
`global “Best" prices.
`More particularly, in the preferred embodiment, the
`sensitive credit limit data indicating how much credit a
`particular client site is willing to extend to each possible
`counterparty is maintained only at an access node asso
`ciated only with that particular client, and only a simple
`yes/no indication of whether the entity (for example, a
`trader, a trading ?oor, or a bank) associated with that
`particular access node is willing to transact business
`with a particular counterparty is transmitted to the
`other nodes of the communication network.
`To further limit the data received and processed by
`each of the relevant distribution nodes computers, (i.e.,
`the regional nodes closest to the particular site and/or
`closest to the particular counterparty), only changes in
`the credit state between a particular access node and a
`particular counterparty (i.e., credit is no longer avail
`able or credit is now available) are transmitted to the
`distribution nodes, and any credit state information only
`relevant to transactions between two client sites both
`associated with other distribution nodes, may be alto
`gether ignored.
`
`0008
`
`

`

`5,375,055
`3
`In a preferred embodiment of the system as currently
`contemplated, if either of the two applicable limits has
`not already been exceeded between a particular pair of
`counterparties, the system displays the entire bid or
`offer as a “Dealable” transaction, but permits each cli
`ent site to block any above-limit portion of any resultant
`buy or sell transaction during a subsequent deal execu
`tion/ veri?cation process. Alternatively, possibly at the
`option of the party by or for whom the low limit has
`been set, the entire transaction could be executed, or the
`entire transaction could be blocked. As a second alter
`native, Preauthorization Matrix could indicate whether
`sufficient credit remained to execute a predetermined
`“standar ” deal amount in addition to, or instead of, a
`mere indication as to whether any credit from a particu
`lar potential counterparty had already been used up. In
`such an alternate embodiment it might also be possible
`to display to each trader two “Dealable” prices: one at
`which at least the predetermined “standar ” amount is
`available, and a second price at which only a “Small”
`amount may be available.
`As currently contemplated, each of the regional
`nodes transmits both a Best current price (for which a
`predetermined minimum quantity is available indepen
`dent of any credit constraints) and a best Dealable price
`(for which at least limited credit is presumably available
`on a bilateral basis with at least one of the counterpar
`ties making the bid or offer), as well as a “Small” indica
`tor that may indicate a thin potential market in which
`that predetermined minimum quantity is not available at
`any price from any counterparty with whom the trader
`is eligible to deal, but nevertheless a smaller quantity is
`available from one or more of such eligible counterpar
`ties. In determining whether such a predetermined mini
`mum quantity is available, the system may consider
`composite deals from more than one Maker or at more
`than one price, in which case the displayed price is
`preferably the least advantageous price included in the
`best such composite deal. In an alternative embodiment,
`the system does not take into account such composite
`deals when displaying a price, but still identi?es the
`oldest quote at the best price as a potential match,
`thereby giving the traders the bene?t of any price ad
`vantages for smaller sizes.
`In accordance with another aspect of the preferred
`45
`embodiment, at least the ?rst Maker having an open
`quote that is displayable as the “Best Dealable” or
`“Regular Dealable” at any of the other trading floors is
`automatically alerted that his bid (offer) quotation is the
`Best price available to at least one potential counter
`party with whom mutual credit exists, and thus could be
`hit (taken) at any time. Similarly, at least if the quoter’s
`bid (offer) quote is not currently the ?rst Best quote at
`at least one trading ?oor and is thus subject to immedi
`ately being hit (taken) by a trader at that trading ?oor,
`he is preferably also alerted if his quote is “joined” (i.e.,
`equal to in price, but later in time) to such a “Best Deal
`able” or “Regular Dealable” price from another trading
`floor.
`Preferably, in accordance with another aspect of the
`invention, the system also determines whether a Quote
`has been "bettered”; that is to say, no longer quali?es as
`a Dealable quote (or joined to such a quote) at at least
`one potential counterparty. In that case, at the trader’s
`option, the system will automatically cancel such a
`bettered quote.
`In accordance with yet another aspect of the inven
`tion, the displayed Dealable price (unless accompanied
`
`60
`
`4
`by the “Small” indicator) is valid for at least a predeter
`mined minimum quantity (which, as noted previously,
`may be a composite of small sizes from more than one
`source, or which always reflects a regular size from
`only one source, depending on system design tradeoffs
`and/or the trader preferences) and only prices and not
`quantities are displayed. However, assuming that the
`Best Dealable price for a regular quantity is greater than
`the best Small price, each trader may optionally select
`which of the two such Dealable prices is displayed.
`When a “buy” or “sell” is made for a quantity in
`excess of the cumulative applicable credit limits associ
`ated with the counterparties having open quotes equal
`to or better than the displayed price and thus the com
`pleted transaction is for a cumulative quantity smaller
`than desired by the trader, the trader preferably then
`has the option of “working the balance” (in which the
`system automatically generates a bid/offer for the dif
`ference).
`In accordance with yet another aspect of the inven
`tion, changes in the Dealable price and speci?cs of any
`subsequent transactions initiated by the trader are op
`tionally vocalized electronically by the terminal and
`provided to the trader in audible form, together with
`succinct details of any subsequent transactions.
`For example: Whenever there is a change in the Deal
`able “Buy” price, the least signi?cant digits of that price
`are electronically converted to text which in turn is
`converted to digital speech using conventional speech
`synthesis circuitry.
`The above description refers to the processing and
`distribution of data as though they were instantaneous
`processes; it will be appreciated by those skilled in the
`art that some delay is inherent in the type of system
`described, and that as a consequence, the information
`available at a particular processing node does not al
`ways re?ect the most current information available
`anywhere in the system. However, at least in a pre
`ferred embodiment, any such delays in the display of
`Dealable price information may be kept within accept
`able limits by transmitting only changes over the com
`munication network, by using several processing nodes
`operating in parallel to compute the Dealable price
`information for different Trading Floors and/or differ
`ent currencies, and by providing dedicated communica
`tion links between each processing node and its associ
`ated Trading Floors.
`
`BRIEF DESCRIPTION OF THE DRAWINGS
`Other objects and features of the present invention
`will be apparent from the following description of a
`presently preferred embodiment taken in connection
`with the accompanying drawings, in which:
`FIG. 1 is an overview of the Communication Net
`work and the various workstations and processing
`nodes associated therewith;
`FIG. 2 depicts the trader’s Buy/ Sell display;
`FIG. 3 depicts the trader’s Quote display;
`FIG. 4 depicts the Trader Profile Display;
`FIG. 5 shows the ?ow of messages in the communi
`cation network which are used to generate and distrib
`ute Dealable price information to each individual
`trader;
`FIG. 6 depicts a Preauthorization Matrix; and
`FIG. 7 is a functional ?owchart showing how the
`Dealable price is computed.
`
`35
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`55
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`65
`
`0009
`
`

`

`5,375,055
`
`30
`
`35
`
`5
`DETAILED DESCRIPTION OF THE
`PREFERRED EMBODIMENT
`In the described embodiment, the trading system is an
`electronic brokerage system having a communication
`network for facilitating the buying and selling of large
`blocks of foreign currency by traders each associated
`with his own Workstation (“WS”) located at a Trading
`Floor of a subscriber bank (“client site”). As shown in
`FIG. 1, each client site has its dedicated Bank Node
`computer (“Market Access Node”, or “MAN”) under
`the control of a Floor Administrator, which maintains
`transaction records, credit limits, and other con?dential
`information originating with its associated Trading
`Floor. The WS’s and the MAN associated with each
`Trading Floor are connected via a conventional self
`repairing DEC VAX network to a nearby distribution
`node (“Market Distributor” or "MD”) computer,
`which typically analyzes and distributes current market
`data by means of dedicated permanent communication
`20
`links to one or more associated MAN’s in a particular
`city (or other local region), and which may also provide
`administrative functions for the communication net
`work. Although not considered critical to the present
`invention, a group of MD’s is preferably supplemented
`by a common trading region processing node (“Arbitra
`tor Node” or “ARB”), with the ARB performing those
`functions (such as identifying potential matches be
`tween Buyers and Sellers, and other aspects of the
`“Deal Matching” process that require coordination
`with more than one client site) which make the most
`efficient use of the communication network if done
`centrally or regionally, while the MD’s perform those
`functions (such as generation of separate Dealable price
`information for each individual client site) which are
`readily implemented in parallel in a distributed process
`ing network and which make most efficient use of the
`communication network if done locally or in close
`proximity to the individual client sites.
`In that regard, it is preferable to have more than one
`40
`ARB, with each ARB having primary responsibility for
`trades initiated by Market Makers in the ARB’s own
`trading region, and being connected to all the MAN’s
`and MD’s of that trading region as well as to the other
`ARB’s in other trading regions by permanent dedicated
`45
`links of the communication network. In the majority of
`deals, it is anticipated that both the Maker and the
`Taker will be within the same Trading Region and thus
`will be directly linked to the same ARB which can
`therefore identify a potential match and coordinate its
`?nal execution without any communication with the
`other ARB’s; at the same time, the other ARB’s can
`simultaneously be processing deals related to other
`traders in other regions Connecting the various ARB’s
`with one another by dedicated permanent communica
`55
`tion links not only facilitates deals with a Taker in a
`remote trading region who does not normally have any
`direct link to the Maker’s ARB, but also provides an
`e?icient communication network for broadcasting price
`quotes to all the trackers in other trading regions. Pref
`erably, the various MD’s, MAN's and ARB’s are each
`provided with a local backup already connected to the
`communication network in accordance with the teach
`ings of the commonly assigned US. patent application
`entitled “ACTIVATION OF A DORMANT SIB
`LING COMPUTER IN A COMMUNICATION
`NETWORK” and filed 9 Nov. 1990 under Ser. No.
`07/612,045]; however, it is also possible, albeit wasteful
`
`6
`of communication resources,. to establish temporary
`communication links between the MAN’s arid MD’s of
`one trading area and an ARB in a remote trading area,
`so that the remote ARB can function as an emergency
`backup for the local ARB. In any event, the system is
`preferably provided with a self-test and re-initialization
`capability to detect discrepancies between the local data
`bases maintained at each of the local (MD) and regional
`(ARB) processing nodes, and to regenerate missing or
`questionable data from corresponding data stored at
`other nodes.
`Whether the communication links between nodes are
`permanent (maintained inde?nitely between two net
`work components) or temporary (established dynami
`cally for a short period of time) they are preferably
`“logical links” which have the property that messages
`sent in a certain order over the same logical link are
`guaranteed to reach their destination in the same order.
`Moreover, the communication network is preferably
`provided with sufficient error detection, error correc
`tion, and network self-repair capability to guarantee
`that messages sent via these logical links are error free.
`In summary, each MAN is connected to other MAN’s
`by a robust communication network which connects
`the various Trading Floors and which supplements the
`MAN’s with a number of processing nodes (preferably
`in the form of MD’s and ARB’s) to facilitate the distri
`bution of price quotations and other market data and to
`execute transactions by matching eligible Market Mak
`ers with eligible Buyers and Sellers and by monitoring
`the transactions until they have been completed or
`aborted, with the MAN’s being responsible for Trading
`Floor speci?c tasks such as logging the completed
`transaction and updating the credit limit that was previ
`ously available to the counterparty Trading Floor.
`The structure and function of the trader WS’s,
`MAN’s, MD’s, and ARB’s will now be described in
`detail, with particular emphasis on how they cooperate
`to distribute price quotes (bids and offers) from a Mar
`ket Maker to potential Takers throughout the system. In
`the prior art, such quotes were made available to the
`individual traders merely in the form of one or more
`public best prices for each currency pair (or other fman
`cial instrument type) then being offered by any Market
`Maker, without regard for any con?dential credit re
`strictions imposed by the Maker or by the potential
`Taker that may prevent any deal being consummated.
`However, in accordance with the present invention,
`each trader receives a private Dealable price, which the
`system has prescreened for the absence of any credit
`restrictions that would prevent the trader on whose WS
`the Dealable price is displayed from dealing with an
`anonymous Market Maker from whom the displayed
`price originates.
`As shown in FIGS. 2 through 4, each WS supports a
`single trader trading in a single currency pair, and its
`display thus provides one or two panels containing only
`information which a typical trader would consider es
`sential to trading in that currency pair by means of an
`anonymous brokerage system. However, the blank por
`tion of the WS display could obviously be used for
`other data related to another currency pair and/or an
`other type of transaction. Furthermore, the displayed
`panel could be a window within a larger display that
`also displays data from other information distribution
`and transaction processing systems.
`FIG. 2 shows the trader’s Buy/Sell display panel 10
`which provides the primary interface between the elec
`
`50
`
`60
`
`0010
`
`

`

`ii
`
`20
`
`25
`
`35
`
`7
`tronic brokerage system and the individual traders. At
`the top of the display appears the currency pair 12 (as
`shown, the Base Currency is United States dollars,
`Local Currency is German marks), and at the top right,
`the “Value Date” 14 (the date on which any resultant
`trade is scheduled for payment). The next line com
`prises (from left to right): the “Figure” (the most signi?
`cant three or four digits) 16 of the “Sell” (“bid") price,
`conventionally expressed in units of Local Currency
`(e.g. 1.72) per single unit of Base Currency (e.g. US.
`$1.00); two additional digits 18,20 (commonly referred
`to as “Pips”) which respectively reflect the remaining
`two or three least signi?cant digits of the displayed
`“Best" bid and offer prices (i.e., the best price at which
`at least one anonymous Market Maker is willing to buy
`the Local Currency, and the best price at which at least
`one anonymous Market Maker is willing to sell the
`Local Currency); and the “Figure” 22 of the “Best”
`offer price.
`A Market Maker will always want to purchase a
`commodity at a lower price than the price at which he
`is willing to sell the same commodity and his bid price
`will thus be less than his offer price. Moreover, the
`trading system is preferably able to “automatch” a bid
`price from one Maker with an equal or lower offer price
`from another Maker, assuming that the two Makers
`have sufficient credit with each other. Accordingly, the
`displayed “Best price” 18,20 will normally re?ect a
`price spread in which the offer price is equal to or
`higher than the bid price; however at times it may re
`ilect an “Arbitrage Opportunity” in which a third party
`having credit with the two Makers is able to Buy at a
`lower offer price from one Maker and sell at a higher
`bid price to the other Maker.
`Furthermore, there is no requirement that a Market
`Maker must always quote both a bid price and an offer
`price for the same quantity of the Local Currency, or
`that if a bid (or offer) price is accepted by a Seller (or
`Buyer), any corresponding offer (or bid) price from that
`Maker will be (preferably at the trader’s option) auto
`matically withdrawn. Thus it is also possible that an
`offer price but no bid price (or vice versa) will be dis
`played as the Best price 18,20 at the top of the display.
`As presently contemplated, the displayed Best bid
`and offer prices 18,20 are each valid for at least a prede~
`termined quantity of currency (for example ?ve million
`US. dollars) from a single source. Since such a quantity
`may be available at the displayed price in a composite
`transaction involving more than one Maker and more
`than one price, it is possible that at least a portion of the
`transaction could be executed at a better price than the
`displayed Best price 18,20.
`In accordance with the invention, a “Dealable” bid
`and/or offer price is derived only from those bids or
`offers from other Trading Floors which have been pre
`screened for at least some nominal level remaining
`credit from the potential Maker to the potential Taker
`and vice versa and at least the “Pips” 24,26 portion of
`the Dealable price is prominently displayed or other
`wise communicated to the potential Taker. In the illus
`trated example, the associated Taker (and any other
`USD/DEM traders on his Trading Floor) is thus eligi
`ble to sell German marks (“DEM”) at the bid rate of
`1.7210 marks per dollar (“USD”), or to Buy at the offer
`rate of l.72l7‘ marks per dollar, and the system has
`already veri?ed that the displayed Dealable price 24,26
`is currently available from one or more anonymous
`Makers with whom the trader is currently still eligible
`
`5,375,055
`8
`to deal, and that those eligible Makers are willing (ei
`ther collectively or individually, depending on the
`trader preferences and/or design tradeoffs mentioned
`previously) to sell. (or buy) at least the same predeter
`mined minimum quantity of the particular Local Cur
`rency involved as was used to determine the displayed
`Best price 18,20. Thus, a “regular” displayed Dealable
`price 24,26 will never be better than the displayed Best
`price 18,20; if worse than the Best price 18,20, this is an
`indication that the trader is barred by credit limitations
`from obtaining the best price that is then theoretically
`available. Indeed, because credit is established bilater
`ally, it is possible that the Maker (or Makers) behind the
`Best price have extended credit only to Trading Floors
`who currently have not extended any credit to those
`particular Makers, and thus that none of the traders at
`any of the client sites will see a Dealable price equal to
`the displayed Best price.
`The foregoing implicitly assumes that the Best price
`18, 20 and the Dealable price 24,26 are sufficiently close
`that the Figures 16, 22 are unaffected. If that is not the
`case, it is preferable that the displayed big Figures cor
`respond to the corresponding most signi?cant digits of
`the displayed Dealable prices; if the “Pips” of the Best
`price are worse than the corresponding least signi?cant
`digits of a displayed Dealable price, it will be apparent
`price that the corresponding Figure of the Dealable
`price should be incremented or decremented by at least
`one to obtain the Best price.
`Moreover, as with the Best price, it is possible that at
`least a small quantity is available from one or more
`Makers at a better price than that which is currently
`displayed as a regular Dealable price (or even that a
`better price becomes available after the price is dis
`played but before the Taker’s Buy or Sell request is
`processed), in which case the trader may receive or pay
`an effective average price that is somewhat better than
`the currently displayed Dealable price. This will be the
`case whether the system has executed a single transac
`tion only with a second Maker with whom the better
`price originated, or a composite transaction with that
`second Maker and the Maker with whom the displayed
`price originated.
`Instead of a regular Dealable price, a Small price may
`be displayed, preferably identi?ed as such (for example,
`by the letter “S”) 28 and which differs from the regular
`Dealable price in that only a relatively small quantity is
`collectively available at any price from those Makers
`with whom the trader currently is eligible to deal. For
`example, if deal size is expressed in units of one million
`dollars, the Best price and the regular Dealable price
`may each represent available deals having a potential
`aggregate value (not necessarily all from the same
`trader) of at least 5 million dollars, while a Small price
`represents available deals having a maximum potential
`value of between 1 and 4 million dollars.
`Among the options available to each trader through
`his Trader Pro?le panel (see FIG. 4) is the ability to
`display either the regular Dealable price as described
`above, which is good for at least the previously men
`tioned predetermined minimum quantity (e.g. at least 5
`million dollars), or a best Dealable price which is the
`best price available to that trader for even a quantity
`(e.g. only 1 million dollars).
`Preferably, the trader has also previously specified a
`default transaction quantity using his Trader Pro?le
`Screen and the displayed Dealable price functions as the
`default value for t