System and method for controlling markets during a stop loss trigger
First Claim
1. A stop-loss system that mitigates the effects of a market spike caused by the triggering and the election of a stop order comprising:
- an evaluation logic that monitors orders submitted to a trading engine in an automated matching system, the evaluation logic being configured to compare an execution price of a stop order to a predefined price range;
a delay logic that delays the matching of the orders submitted to the trading engine when the price of a transaction lies outside of the predefined price range;
a pricing logic that derives an opening price to be used by the trading engine; and
a timing logic that measures a time interval used to delay a matching of the orders until the opening price is within a second predefined price range.
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Abstract
A system mitigates the effects of a market spike caused by the triggering and the election of a conditional order in an automated matching system. The system includes evaluation logic, delay logic, pricing logic and timing logic. The evaluation logic monitors conditional orders submitted to a trading engine and is configured to compare a price of an order to a first predefined price range. The delay logic delays matching of the orders submitted to the trading engine when the price of the orders lie outside of the first predefined price range. The pricing logic derives an opening price to be used by the trading engine. The timing logic measures a time interval used to delay a matching of the orders until the opening price is within a predefined price range up to a maximum delay time set by a control center. A method of mitigating the effect of a market spike caused by the triggering and the election of a conditional order includes monitoring conditional orders submitted to the trading engine. The method compares the price of a conditional order to a first predefined price range and delays the matching of orders submitted to the trading engine when the price of the conditional order lies outside of the first predetermined price range. The method derives an opening price to be used by the trading engine; and measures a time interval used to delay the matching of the orders until the opening price is within a predefined price range up to a maximum delay time set by a control center.
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Citations
28 Claims
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1. A stop-loss system that mitigates the effects of a market spike caused by the triggering and the election of a stop order comprising:
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an evaluation logic that monitors orders submitted to a trading engine in an automated matching system, the evaluation logic being configured to compare an execution price of a stop order to a predefined price range;
a delay logic that delays the matching of the orders submitted to the trading engine when the price of a transaction lies outside of the predefined price range;
a pricing logic that derives an opening price to be used by the trading engine; and
a timing logic that measures a time interval used to delay a matching of the orders until the opening price is within a second predefined price range. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17)
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18. A system that mitigates the effects of rises or falls in market prices caused by the execution of a conditional order comprising:
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an order book manager that receives orders;
an order processor that compares an execution price of a conditional order to a predefined price threshold;
a spike control processor that delays the matching of orders received by the order book when an execution price of the conditional order lies outside of the predefined price threshold, the spike control processor compares an indicative opening price to the predetermined price threshold; and
an open market processor that opens the market when the indicative opening price lies outside of the predetermined price threshold. - View Dependent Claims (19, 20, 21, 22, 23, 24)
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25. A computer readable medium programmed to mitigate the effect of a market spike caused by the triggering and the election of a conditional order, comprising:
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monitoring code that monitor orders submitted to a trading engine in an automated matching system;
comparing code that compares the price of a conditional order to a predefined price range;
delaying code that delays the matching of orders submitted to the trading engine when an execution price of a stop order lies outside of the predefined price range;
deriving code that derives an opening price to be used by the trading engine; and
measuring code that delays a matching of the orders until the opening price lies within a second predefined price range or a time period lapses. - View Dependent Claims (26)
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27. A signal-bearing medium having software that mitigates the effect of a market spike caused by the triggering and the election of a conditional order, comprising:
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an evaluation logic that monitors orders submitted to a trading engine in an automated matching system, the evaluation logic being configured to compare an execution price of a conditional order to a predefined price range;
a delay logic that delays the matching of the orders submitted to the trading engine when the price of a transaction lies outside of the predefined price range;
a pricing logic that derives an opening price to be used by the trading engine; and
a timing logic that measures a time interval used to delay a matching of the orders until the opening price is within a predefined price range up to a maximum delay time set by a control center.
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28. A method of mitigating the effect of a market spike caused by the triggering and the election of a stop order, comprising:
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monitoring orders submitted to a trading engine in an automated matching system;
comparing the price of a stop order to a predefined price range;
delaying the matching of orders submitted to the trading engine when an execution price of a stop order lies outside of the predefined price range;
deriving an opening price to be used by the trading engine; and
delaying a matching of the orders until the opening price lies within a predefined price range up to a maximum delay time set by a control center.
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Specification