Market driven implied trade resolution

• US 10,453,123 B2
• Filed: 10/26/2011
• Issued: 10/22/2019
• Est. Priority Date: 10/26/2011
• Status: Active Grant

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Acuna-Rohter, Jose A., Callaway, Paul, Peck-Walden, Pearce, Galster, Barry L.
• Primary Examiner(s): Oyebisi, Ojo O
• Application Number:
  US13/281,782
• Publication Number:
  US 20130110694A1
• Time in Patent Office: 2,918 Days
• Field of Search: 705 37
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes

Abstract

An electronic trading system utilizes a Match Engine that receives orders, stores them internally, calculates tradable combinations and advertises the availability of real and implied orders in the form of market data. New tradable items defined as combinations of other tradable items may be included in the calculation of tradable combinations. The disclosed embodiments relate to detection of market conditions where identification of implied opportunities may, for example, subvert real orders resulting in undesirable effects. Under circumstances where such undesirable effects are likely to occur, identification of implied opportunities may be delayed thereby allowing market forces to attempt to resolve the aberrant market conditions and avoid the undesirable effects.

Claims

1. A computer implemented system for improving efficiency of a trading system, the trading system comprising a processor and a match engine coupled therewith, the match engine being operative to match an order for an instrument with another order counter thereto to at least partially satisfy one or both of the order or the other order, the system comprising:

computer executable program codes stored in a non-transitory memory and executable by a processor coupled therewith to cause the processor to;

disable, selectively by the processor, the processor from identifying to the match engine, a first set of orders, each order of the first set of orders being for a different instrument at an associated order price, wherein if identified to the match engine, one or more of the orders of the first set of orders would be used by the match engine to at least partially satisfy, at an associated match price, the remaining orders of the first set of orders;

receive, by the processor, each order of the first set of orders;

determine, by the processor subsequent to the receiving of all of the orders of the first set of orders, that an event has occurred and, based thereon further determining by the processor whether the associated match price for any order of the first set of orders would be better than the associated order price thereof; and

enable, selectively by the processor when the associated match price for each order of the first set of orders would not be better than the associated order price thereof, identification to the match engine, upon receipt of a subsequent order for a same instrument associated with any of the orders of the first set of orders, of a second set of orders comprising the subsequent order and a subset of orders of the first set of orders wherein, if identified to the match engine, one or more of the orders of the second set of orders would be used by the match engine to at least partially satisfy the remaining orders of the second set of orders; and

the match engine, when disabled by the processor, being operative to process each order of first set of orders upon receipt thereof to match the received order of the first set of orders with another previously received order counter thereto for the same instrument as the received order to at least partially satisfy one or both of the order or the other order and generate data indicative thereof, and when enabled by the processor, being operative to process each order of the second set of orders upon receipt thereof to match, regardless of the instrument for which the order is for, the received order of the second set of orders with another previously received order counter thereto or with another order of the second set of orders to at least partially satisfy one or both of the order or the other order and generate data indicative thereof;

the computer executable program codes being further executable by the processor to cause the processor to generate and communicate data indicative of a result of the processing of each order of the first set of orders to a source thereof via a communications network coupled therewith; and

wherein the match engine being unable to match an incoming order from the second set of orders with another order counter thereto from the second set of orders is avoided.

2. The computer implemented system of claim 1 wherein the computer executable code is further executable by the processor to cause the processor to:

provide a plurality of exemplary order combinations, each exemplary order combination comprising a plurality of exemplar orders, each exemplar order of an exemplary order combination being for one or more instruments, wherein one or more of the exemplar orders of the exemplary order combination, if actually received, could be used by the match engine to at least partially satisfy each of the remaining exemplar orders of the exemplary order combination, if actually received; and

wherein each of the plurality of order combinations further enables the processor to identify the second set of orders as being capable of being identified to the match engine such that one or more of the orders of the second set of orders would be used by the match engine to at least partially satisfy the remaining orders of the second set of orders; and

further wherein the first and second sets of orders comprise one of the plurality of exemplary order combinations.

3. The computer implemented system of claim 2 wherein the identification upon receipt of the subsequent order further comprises causing the processor to determine a subset of the exemplary order combinations comprising an exemplar order similar to the subsequent order.

4. The computer implemented system of claim 3 wherein the computer executable code is further operative to cause the process to not enable order combinations which do not include an exemplar order similar to the subsequent order.

5. The computer implemented system of claim 1 wherein the computer executable code is further executable by the processor to cause the processor to:

disable, by the processor, the processor from identifying to a match engine, a third set of orders, each order of the third set of orders being for a different instrument at an associated order price, wherein if identified to the match engine, one or more of the orders of the third set of orders would be used by the match engine to at least partially satisfy, at an associated match price, the remaining orders of the third set of orders;

receive, by the processor, each order of the third set of orders; and

wherein the enabling, by the processor when the associated match price for each order of the first set of orders would not be better than the associated order price thereof, further comprises not enabling identification to the match engine, upon receipt of another subsequent order for a same instrument associated with any of the orders of the third set of orders, of a fourth set of orders comprising the other subsequent order and a subset of orders of the third set of orders wherein, if identified to the match engine, one or more of the orders of the fourth set of orders would be used by the match engine to at least partially satisfy the remaining orders of the fourth set of orders.

6. The computer implemented system of claim 1 wherein the computer executable code is further executable by the processor to cause the processor to disable in response to the close of markets for any of the instruments associated with the first set of orders.

7. The computer implemented system of claim 1 wherein the computer executable code is further executable by the processor to cause the processor to disable in response to a market event in a market for any of the instruments associated with the first set of orders.

8. The computer implemented system of claim 7 wherein the market event comprises a price exceeding a threshold.

9. The computer implemented system of claim 1 wherein one of the orders of the first set of orders comprises a buy order, the match price of thereof being better than the order price thereof when the match price thereof is less than the order price thereof.

10. The computer implemented system of claim 1 wherein one of the orders of the first set of orders comprises a sell order, the match price of thereof being better than the order price thereof when the match price thereof is greater than the order price thereof.

11. The computer implemented system of claim 1 wherein one of the instruments associated with an order of the first set of orders comprises a spread between instruments associated with the remaining of the orders of the first set of orders.

12. The computer implemented system of claim 1 wherein the event comprises receipt of the subsequent order.

13. The computer implemented system of claim 12 wherein the computer executable code is further executable by the processor to cause the processor to enable the identification of the first set of orders to the match engine when the subsequent order has not been received within a defined period of time.

14. The computer implemented system of claim 1 wherein the event comprises an expiration of a timer.

15. The computer implemented system of claim 14 wherein the computer executable code is further executable by the processor to cause the processor to enable the identification of the second set of orders to the match engine when the timer expires or when the associated match price for each order of the first set of orders would not be better than the associated order price thereof.

16. The computer implemented system of claim 1 wherein the event comprises opening of markets for one or more of the instruments associated with the first set of orders.

17. The computer implemented system of claim 1 wherein the computer executable code is further executable by the processor to cause the processor to:

list, by the processor subsequent to the receiving of each of the orders of the first set of orders, each of the received orders in an order book for the instrument associated therewith;

list, by the processor, when any of the associated match price for each order of the first set of orders would be better than the associated order price thereof, the subsequent order in the order book for the instrument associated therewith; and

communicate, by the processor via the communications network, the order book to a client device.

18. A system for improving trading efficiency of a match engine operative to match an order for an instrument with another order counter thereto to at least partially satisfy one or both of the order or the other order, the system comprising an implied opportunity identifier implemented by a processor and a non-transitory memory coupled therewith, the system further comprising:

an implied opportunity controller implemented by the processor and coupled with the implied opportunity identifier and operative to selectively disable identification, by the implied opportunity identifier, to the match engine, a first set of orders, each order of the first set of orders being for a different instrument at an associated order price, wherein if identified to the match engine, one or more of the orders of the first set of orders would be used by the match engine to at least partially satisfy, at an associated match price, the remaining orders of the first set of orders; and

wherein the implied opportunity controller is further operative to determine, subsequent to the receipt of all of the orders of the first set of orders, that an event has occurred and, based thereon further determine whether the associated match price for any order of the first set of orders would be better than the associated order price thereof, and selectively enable, when the associated match price for each order of the first set of orders would not be better than the associated order price thereof, identification to the match engine by the implied opportunity identifier, upon receipt of a subsequent order for a same instrument associated with any of the orders of the first set of orders, of a second set of orders comprising the subsequent order and a subset of orders of the first set of orders wherein, if identified to the match engine, one or more of the orders of the second set of orders would be used by the match engine to at least partially satisfy the remaining orders of the second set of orders; and

the match engine, when disabled by the processor, being operative to process each order of first set of orders upon receipt thereof to match the received order of the first set of orders with another previously received order counter thereto for the same instrument as the received order to at least partially satisfy one or both of the order or the other order and generate data indicative thereof, and when enabled by the processor, being operative to process each order of the second set of orders upon receipt thereof to match, regardless of the instrument for which the order is for, the received order of the second set of orders with another previously received order counter thereto or with another order of the second set of orders to at least partially satisfy one or both of the order or the other order and generate data indicative thereof;

the match engine being further operative to generate and communicate data indicative of a result of the processing of each order of the first set of orders to a source thereof via a communications network coupled therewith; and

wherein the match engine being unable to match an incoming order from the second set of orders with another order counter thereto from the second set of orders is avoided.

19. The system of claim 18 wherein the implied opportunity identifier is further operative to provide a plurality of exemplary order combinations, each exemplary order combination comprising a plurality of exemplar orders, each exemplar order of an exemplary order combination being for one or more instruments, wherein one or more of the exemplar orders of the exemplary order combination, if actually received, could be used by the match engine to at least partially satisfy each of the remaining exemplar orders of the exemplary order combination, if actually received;

and

wherein each of the plurality of order combinations further enables the implied opportunity controller to identify the second set of orders as being capable of being identified to the match engine such that one or more of the orders of the second set of orders would be used by the match engine to at least partially satisfy the remaining orders of the second set of orders; and

further wherein the first and second sets of orders comprise one of the plurality of exemplary order combinations.

20. The system of claim 19 wherein the implied opportunity controller is further operative to, upon receipt of the subsequent order, determine a subset of the exemplary order combinations comprising an exemplar order similar to the subsequent order.

21. The system of claim 20 wherein implied opportunity controller is further operative to not enable order combinations which do not include an exemplar order similar to the subsequent order.

22. The system of claim 18 wherein the implied opportunity controller is further operative to disable identification to the match engine, a third set of orders, each order of the third set of orders being for a different instrument at an associated order price, wherein if identified to the match engine, one or more of the orders of the third set of orders would be used by the match engine to at least partially satisfy, at an associated match price, the remaining orders of the third set of orders;

and

the implied opportunity controller is further operative to not enable, when the associated match price for each order of the first set of orders would not be better than the associated order price thereof, identification by the implied opportunity identifier to the match engine, upon receipt of another subsequent order for a same instrument associated with any of the orders of the third set of orders, of a fourth set of orders comprising the other subsequent order and a subset of orders of the third set of orders wherein, if identified to the match engine, one or more of the orders of the fourth set of orders would be used by the match engine to at least partially satisfy the remaining orders of the fourth set of orders.

23. The system of claim 18 wherein the implied opportunity controller is further operative to disable the identification in response to the close of markets for any of the instruments associated with the first set of orders.

24. The system of claim 18 wherein the implied opportunity controller is further operative to disable the identification in response to a market event in a market for any of the instruments associated with the first set of orders.

25. The system of claim 24 wherein the market event comprises a price exceeding a threshold.

26. The system of claim 18 wherein one of the orders if the first set of orders comprising a buy order, the match price of thereof being better than the order price thereof when the match price thereof is less than the order price thereof.

27. The system of claim 18 wherein one of the orders of the first set of orders comprising a sell order, the match price of thereof being better than the order price thereof when the match price thereof is greater than the order price thereof.

28. The system of claim 18 wherein one of the instruments associated with an order of the first set of orders comprises a spread between instruments associated with the remaining of the orders of the first set of orders.

29. The system of claim 18 wherein the event comprises receipt of the subsequent order.

30. The system of claim 29 wherein the implied opportunity controller is further operative to enable the identification by the implied opportunity identifier of the first set of orders to the match engine when the subsequent order has not been received within a defined period of time.

31. The system of claim 18 wherein the event comprises an expiration of a timer.

32. The system of claim 31 wherein the implied opportunity controller is further operative to enable the identification by the implied opportunity identifier of the second set of orders to the match engine when the timer expires or when the associated match price for each order of the first set of orders would not be better than the associated order price thereof.

33. The system of claim 18 wherein the event comprises opening of markets for one or more of the instruments associated with the first set of orders.

34. The system of claim 18 further comprising an order receiver coupled with the implied opportunity identifier and the implied opportunity controller and operative to receive each of the orders of the first set of orders and list, subsequent thereto, each of the received orders in an order book for the instrument associated therewith, list, when any of the associated match price for each order of the first set of orders would be better than the associated order price thereof, the subsequent order in the order book for the instrument associated therewith, communicate, via the communications network, the order book to a client device.

35. A system for improving efficiency of a trading system comprising a match engine means for matching an order for an instrument with another order counter thereto to at least partially satisfy one or both of the order or the other order, the system comprising:

means for selectively disabling identification to the match engine, a first set of orders, each order of the first set of orders being for a different instrument at an associated order price, wherein if identified to the match engine, one or more of the orders of the first set of orders would be used by the match engine to at least partially satisfy, at an associated match price, the remaining orders of the first set of orders;

means for receiving each order of the first set of orders;

means for determining, subsequent to the receiving of all of the orders of the first set of orders, that an event has occurred and, based thereon further determining whether the associated match price for any order of the first set of orders would be better than the associated order price thereof; and

means for selectively enabling, when the associated match price for each order of the first set of orders would not be better than the associated order price thereof, identification to the match engine, upon receipt of a subsequent order for a same instrument associated with any of the orders of the first set of orders, of a second set of orders comprising the subsequent order and a subset of orders of the first set of orders wherein, if identified to the match engine, one or more of the orders of the second set of orders would be used by the match engine to at least partially satisfy the remaining orders of the second set of orders; and

the match engine means, when disabled by the means for selectively disabling, being operative to process each order of first set of orders upon receipt thereof to match the received order of the first set of orders with another previously received order counter thereto for the same instrument as the received order to at least partially satisfy one or both of the order or the other order and generate data indicative thereof, and when enabled by the means for selectively enabling, being operative to process each order of the second set of orders upon receipt thereof to match, regardless of the instrument for which the order is for, the received order of the second set of orders with another previously received order counter thereto or with another order of the second set of orders to at least partially satisfy one or both of the order or the other order and generate data indicative thereof;

means for generating and communicating data indicative of a result of the processing of each order of the first set of orders to a source thereof via a communications network coupled therewith; and

wherein the match engine means being unable to match an incoming order from the second set of orders with another order counter thereto from the second set of orders is avoided.

36. A system for improving trading efficiency of a match engine operative to match an order for an instrument with another order counter thereto to at least partially satisfy one or both of the order or the other order, the system comprising a processor and a non-transitory memory coupled therewith, the system further comprising:

logic stored in the memory and executable by the processor to selectively disable identification to the match engine, a first set of orders, each order of the first set of orders being for a different instrument at an associated order price, wherein if identified to the match engine, one or more of the orders of the first set of orders would be used by the match engine to at least partially satisfy, at an associated match price, the remaining orders of the first set of orders; and

wherein the logic is further executable by the processor to determine, subsequent to the receipt of all of the orders of the first set of orders, that an event has occurred and, based thereon further determine whether the associated match price for any order of the first set of orders would be better than the associated order price thereof, and selectively enable, when the associated match price for each order of the first set of orders would not be better than the associated order price thereof, identification to the match engine, upon receipt of a subsequent order for a same instrument associated with any of the orders of the first set of orders, of a second set of orders comprising the subsequent order and a subset of orders of the first set of orders wherein, if identified to the match engine, one or more of the orders of the second set of orders would be used by the match engine to at least partially satisfy the remaining orders of the second set of orders; and

the match engine, when disabled by the logic, being operative to process each order of first set of orders upon receipt thereof to match the received order of the first set of orders with another previously received order counter thereto for the same instrument as the received order to at least partially satisfy one or both of the order or the other order and generate data indicative thereof, and when enabled by the logic, being operative to process each order of the second set of orders upon receipt thereof to match, regardless of the instrument for which the order is for, the received order of the second set of orders with another previously received order counter thereto or with another order of the second set of orders to at least partially satisfy one or both of the order or the other order and generate data indicative thereof;

the match engine being further operative to generate and communicate data indicative of a result of the processing of each order of the first set of orders to a source thereof via a communications network coupled therewith; and

wherein the match engine being unable to match an incoming order from the second set of orders with another order counter thereto from the second set of orders is avoided.