Implied market trading system

• US 20030069830A1
• Filed: 10/04/2001
• Published: 04/10/2003
• Est. Priority Date: 10/04/2001
• Status: Active Grant

• Current Assignee: New York Mercantile Exchange Incorporated (CME Group Incorporated), ICE Futures Europe (Intercontinental Exchange, Inc.)
• Original Assignee: Ice Futures
• Inventors: West, Iain, Neumann, Kai, Morano, Matt N.
• Granted Patent: US 7,039,610 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis
• CPC Class Codes: G06Q 40/10 Tax strategies

Abstract

A computer based trading system implies spread markets from multiple real or implied spread markets. In particular, one aspect of the invention permits implication of a spread market from a combination of inter-commodity and inter-calendar spread orders. Furthermore, another aspect of the invention allows use of nontradeable implied or bridge markets to combine with other implied or real markets to create further tradeable implied markets. The method described herein thereby permits the creation of all implied markets that are inherent in the combination of futures, calendar spread and inter-commodity spread real orders.

Claims

1. A computer-implemented method for generating implied spread markets from multiple spread orders, comprising the steps of:

storing a first spread order;

storing a second spread order, the second spread order of a different order type than the first spread order and having a common and offsetting leg with the first spread order; and

generating an first implied spread order based on the first spread order and the second spread order.

2. The method of claim 1, further comprising the steps of:

storing a third spread order having a common and offsetting leg with the first implied spread order; and

generating a second implied spread based on the third spread and the first implied spread order.

3. The method of claim 1, wherein one or more of the first and second spread orders is a real spread order.

4. The method of claim 1, wherein one of the first or second spread orders is an inter-commodity spread order.

5. The method of claim 1, wherein one of the first or second spread orders is an inter-calendar spread order.

6. The method of claim 1, further comprising the step of:

comparing the second implied spread order with other orders to find a matched trade.

7. The method of claim 1, further comprising the step of:

generating matched trade information for the first, second and third spread orders after the second implied spread order has been matched.

8. The method of claim 1, wherein the first implied spread order is a bridge spread order.

9. A trading system, comprising:

one or more trading workstations for entry of a plurality of spread orders, at least two of the spread orders being of different spread order types;

a communication network coupled to the trading workstations; and

trade matching system coupled to the communication network, wherein the trade matching system generates a first generation implied spread order based on the different type spread orders having a common and offsetting leg.

10. The trading system of claim 9, wherein the trading system further generates a second generation implied spread order based on a spread order and the first generation implied spread order.

11. The trading system of claim 10, wherein the second generation implied spread order is compared with one or more orders to find a matched trade.

12. The trading system of claim 11, wherein the trading system generates matched trade information for the spread orders on which the first and second generation implied spreads are derived after the second generation spread order has been matched.

13. The trading system of claim 9, wherein at least one of the spread orders is an inter-commodity spread order.

14. The trading system of claim 9, wherein at least one of the spread orders is an inter-calendar spread order.

15. The trading system of claim 9, wherein at least one of the spread orders is a real spread order.

16. The trading system of claim 9 wherein the first generation implied spread order is a bridge spread order.

17. A computer implemented method for trading real and implied orders for futures contracts, the method comprising the steps of:

storing at least one real order in a trading system;

storing at least one implied order in the trading system;

prioritizing the stored orders based on the type of order; and

comparing the stored orders based on order priority to find a matched trade

18. The method of claim 17, wherein the implied orders are prioritized with the same priority as the real orders.

19. The method of claim 17, wherein the prioritization of the real and implied orders is according to a time priority.

20. The method of claim 17, wherein the implied order is an implied spread order.

21. The method of claim 17, wherein the implied order is a futures order.

22. The method of claim 17, wherein the stored orders match in price.