Method and a system related to determining the price of a combination contract

• US 20030004899A1
• Filed: 06/15/2001
• Published: 01/02/2003
• Est. Priority Date: 06/15/2001
• Status: Active Grant

• Current Assignee: Nasdaq Technology AB (Nasdaq, Inc.)
• Original Assignee: OMX Technology AB
• Inventors: Bergenudd, Johan
• Granted Patent: US 7,092,919 B2
• Time in Patent Office: Days
• US Class Current: 705/400
• CPC Class Codes: G06Q 30/0283 Price estimation or determination
• CPC Class Codes: G06Q 30/06 Buying, selling or leasing transactions
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

In a combination contract for each leg or sub-contract, up to two different prices can be selected and allocating the number of products that the multiplier states between the two prices. Allowing each sub-contract to be traded at, at least, two different price ticks within the spread ensures a solution with a correct net price For each combination contract, which can be repeated any number of times (combination quantity).

Claims

1. A method of determining the price of individual sub-contracts when Patching a combination contract for different products in an automated exchange, the combination contract specifying at least a first number of sub-contracts for a first product and a second number of sub-contracts for a second number and a net-price, at least one of the products in the combination contract having a non-zero spread, the method comprising the step of:

allowing the prices for at least the first number of the sub-contracts to be different, and

determining the price of the individual sub-contracts using different prices for at least the first number of the sub-contracts

2. A method according to claim 1, wherein the prices for the individual sub-contracts are calculated product by product.

3. A method according to claim 1, when at least one product in the combination contract has a zero-spread, further comprising the step of deducting the price contribution from the zero-spread product (s) before determining the prices for the remaining product(s).

4. A method according to claim 1, when the tick size varies over the valid price interval of a product, wherein the tick size valid at the optimum price divided by the multiplier is selected.

5. A method according to claim 1, when the tick size of a product varies over the valid price interval and the corresponding product combination tick size is equal the smallest tick size, wherein the sub-contracts with non-zero spread are sorted so that the sub-contracts with the smallest tick size are calculated last

6. A method according to claim 1, when at least one sub-contract only is given one valid price, wherein the price(s) of said at least one sub-contract having only one valid price is first deducted from the net-price of the combination contract before determining the prices of the remaining sub-contracts of the combination contract.

7. An automated exchange system having means for determining the price of individual sub-contracts when matching a combination contract for different products, the combination contract specifying a first number of sub-contracts for a first product and a second number of sub-contracts for a second number and a net-price, at least one of the products in the combination contract having a non-zero spread, the system comprising:

means for allowing the prices for at least a first number of the sub-contracts to be different, and

means for determining the price of the individual sub-contracts using different prices for a least the first number of the sub-contracts.

8. A system according to claim 7, comprising means for calculating the prices for the individual subcontracts product by product,

9. A system according to claim 7, further comprising means for deducting the price contribution from the zero-spread product(s) before determining the prices for the remaining product(s) when at least one product in the combination contract has a zero-spread.

10. A system according to claim 7, further comprising means for selecting the tick size valid at the optimum price divided by the multiplier when the tick size varies over the valid price interval of a product.

11. A system according to claim 7, further comprising means for sorting the sub-contracts with non-zero spread so that the sub-contracts with the smallest tick size are calculated last, when the tick size of a product varies over the valid price interval and the corresponding product combination tick size is equal the smallest tick size

12. A system according to claim 7. further comprising means for initially deducting the price(s) of any sub-contracts having only one valid price from the net-price of the combination contract before determining the prices of the remaining sub-contracts of the combination contract.