Generating implied orders based on electronic requests for quotes
First Claim
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1. An apparatus that reduces slippage risk by distributing computational workload of an electronic match engine in an exchange computer system located in an exchange, the apparatus comprising:
- a processor configured to execute computer-executable instructions; and
a memory storing a search list and computer-executable instructions that when executed by the processor cause the apparatus to perform steps comprising;
receiving a request for quote for a financial instrument at time t1, wherein the request for quote includes an inquiry regarding a current market for the financial instrument, and wherein the request for quote does not create an order for the financial instrument at the electronic match engine;
starting a timer at the time t1 to countdown for a predetermined amount of time;
determining that a response to the request for quote has not been received before the timer finishes its countdown;
as a result of determining that a response to the request for quote has not been received before the timer finishes its countdown, determining that the financial instrument is on the search list;
based on a determination that the financial instrument is on the search list, causing an implied spread determination module to determine, by a first processing thread executing the implied spread determination module, if the order for the financial instrument creates an implied spread, the first processing thread executes in parallel with and apart from a second processing thread executing in the electronic match engine, and wherein the implied spread comprises multiple legs, a first leg of the multiple legs corresponding to the order and a second leg of the multiple legs corresponding to a resting order;
causing the second processing thread executing in the electronic match engine to receive from the first processing thread executing the implied spread determination module, a notification of the implied spread, the notification comprising order book identifiers;
executing, by the electronic match engine contemporaneously based on the notification, all the multiple legs of the implied spread without locking a market for the financial instrument of each leg; and
based on a determination by the implied spread determination module that the order for the financial instrument creates an implied spread, sending a response to the request for quote.
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Abstract
Systems and methods for determining implied spreads are provided. More particularly, implied spread financial transactions are generated using information from requests for quotes (RFQs). An RFQ processor module may focus the calculations performed by an implied spread determination module. A financial instrument associated with an RFQ may be provided to the implied spread determination module to trigger the determination of whether implied orders exist related to that particular financial instrument.
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Citations
17 Claims
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1. An apparatus that reduces slippage risk by distributing computational workload of an electronic match engine in an exchange computer system located in an exchange, the apparatus comprising:
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a processor configured to execute computer-executable instructions; and a memory storing a search list and computer-executable instructions that when executed by the processor cause the apparatus to perform steps comprising; receiving a request for quote for a financial instrument at time t1, wherein the request for quote includes an inquiry regarding a current market for the financial instrument, and wherein the request for quote does not create an order for the financial instrument at the electronic match engine; starting a timer at the time t1 to countdown for a predetermined amount of time; determining that a response to the request for quote has not been received before the timer finishes its countdown; as a result of determining that a response to the request for quote has not been received before the timer finishes its countdown, determining that the financial instrument is on the search list; based on a determination that the financial instrument is on the search list, causing an implied spread determination module to determine, by a first processing thread executing the implied spread determination module, if the order for the financial instrument creates an implied spread, the first processing thread executes in parallel with and apart from a second processing thread executing in the electronic match engine, and wherein the implied spread comprises multiple legs, a first leg of the multiple legs corresponding to the order and a second leg of the multiple legs corresponding to a resting order; causing the second processing thread executing in the electronic match engine to receive from the first processing thread executing the implied spread determination module, a notification of the implied spread, the notification comprising order book identifiers; executing, by the electronic match engine contemporaneously based on the notification, all the multiple legs of the implied spread without locking a market for the financial instrument of each leg; and based on a determination by the implied spread determination module that the order for the financial instrument creates an implied spread, sending a response to the request for quote. - View Dependent Claims (2, 3, 4, 5, 8, 10, 11, 12)
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6. A method that reduces slippage risk by distributing computational workload of an electronic match engine in an exchange computer system located in an exchange, the method comprising:
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receiving, at a request for quote processor module of the exchange computer system at time t1, a request for quote for a financial instrument, wherein the request for quote includes an inquiry regarding the current market for the financial instrument, and wherein the request for quote does not create an order for the financial instrument at the electronic match engine in the exchange computer system; starting, at the request for quote processor module, a timer at the time t1 to countdown for a predetermined amount of time; determining, by the request for quote processor module, that a response to the request for quote has not been received before the timer finishes its countdown; determining, by the request for quote processor module and as a result of the determining that a response to the request for quote has not been received before the timer finishes its countdown, that the financial instrument is on a search list; causing, by the request for quote processor module and based on a determination that the financial instrument is on the search list, an implied spread determination module to determine, by a first processing thread executing the implied spread determination module, if the order for the financial instrument creates an implied spread, the first processing thread executes in parallel with and apart from a second processing thread executing in the electronic match engine in the exchange computer system, and wherein the implied spread comprises multiple legs, a first leg of the multiple legs corresponding to the order and a second leg of the multiple legs corresponding to a resting order; causing the second processing thread executing in the electronic match engine to receive from the first processing thread executing the implied spread determination module, a notification of the implied spread, the notification comprising order book identifiers; executing, by the electronic match engine contemporaneously based on the notification, all the multiple legs of the implied spread without locking a market for the financial instrument of each leg; and sending, by the request for quote processor module and based on a determination by the implied spread determination module that the order for the financial instrument creates an implied spread, a response to the request for quote. - View Dependent Claims (7, 13, 14, 15)
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9. A tangible computer-readable medium storing computer-executable instructions that when executed by a processor cause a computing device to perform steps comprising:
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receiving, at a request for quote processor module of an exchange computer system at time t1, a request for quote for a financial instrument, wherein the request for quote includes an inquiry regarding the current market for the financial instrument, and wherein the request for quote does not create an order for the financial instrument at an electronic match engine in the exchange computer system; starting a timer at the time t1 to countdown for a predetermined amount of time; determining that a response to the request for quote has not been received before the timer finishes its countdown; as a result of determining that a response to the request for quote has not been received before the timer finishes its countdown, determining that the financial instrument is on a search list; based on a determination that the financial instrument is on the search list, causing an implied spread determination module, by a first processing thread executing the implied spread determination module, to determine if the order for the financial instrument creates an implied spread, the first processing thread executes in parallel with and apart from a second processing thread executing in the electronic match engine in the exchange computer system, and wherein the implied spread comprises multiple legs, a first leg of the multiple legs corresponding to the order and a second leg of the multiple legs corresponding to a resting order; causing the second processing thread executing in the electronic match engine to receive from the first processing thread executing the implied spread determination module, a notification of the implied spread, the notification comprising order book identifiers; executing, by the electronic match engine contemporaneously based on the notification, all the multiple legs of the implied spread without locking a market for the financial instrument of each leg; and based on a determination by the implied spread determination module that the order for the financial instrument creates an implied spread, sending a response to the request for quote. - View Dependent Claims (16, 17)
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Specification