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Generation of estimated prices of instruments for a trade in a combination of instruments

  • US 20040143537A1
  • Filed: 01/22/2003
  • Published: 07/22/2004
  • Est. Priority Date: 01/22/2003
  • Status: Active Grant
First Claim
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1. In an automatic trade system wherein bids and offers in instruments as well as in combinations of instruments are received and a trade in an instrument or in a combination of instruments is performed when, for a certain number of that instrument or combination of instruments, a bid price matches an ask price, a method for generating estimated prices of instruments for a trade in a combination of instruments, comprising the steps of:

  • identifying for each bid in each one of said instruments its bid price;

    storing the identified bid price of the last bid in each one of said instruments; and

    generating said estimated prices based on the stored bid price of the last bid in at least one of said instruments, which is comprised in said combination of instruments, independent on whether said last bid still exists or not at the time of generating said estimated prices.

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