Implied spread trading system
First Claim
Patent Images
1. A computer implemented method of processing an order for a multiple leg spread product based on underlying financial instruments, the method comprising:
- (a) receiving an order for the spread product;
(b) creating a multiple underlying financial instrument leg of an implied spread product having a nonstandard tick level with multiple underlying financial instruments having standard tick levels and when combined result in the nonstandard tick level; and
(c) matching the order for the spread product with orders for the underlying financial instruments.
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Abstract
Systems and methods are provided for creating and processing implied spread products that include one or more legs having nonstandard tick levels. One or more multiple financial instrument legs consist of underlying financial instruments that have standard tick levels and result in the leg(s) having a nonstandard tick level. The use of underlying financial instruments that have standard tick levels facilitates the linking of spread product markets to markets for the underlying financial instruments.
153 Citations
19 Claims
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1. A computer implemented method of processing an order for a multiple leg spread product based on underlying financial instruments, the method comprising:
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(a) receiving an order for the spread product;
(b) creating a multiple underlying financial instrument leg of an implied spread product having a nonstandard tick level with multiple underlying financial instruments having standard tick levels and when combined result in the nonstandard tick level; and
(c) matching the order for the spread product with orders for the underlying financial instruments. - View Dependent Claims (2)
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3. The computer implemented method 1, wherein the spread product comprises a pack spread.
- 4. The computer implemented method 1, wherein the spread product comprises a butterfly spread.
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8. A computer-implemented method of creating a leg of a multiple leg spread product that has a nonstandard tick level, the method comprising:
combining multiple underlying financial instruments having standard tick levels and that when combined result in a leg having a nonstandard tick level. - View Dependent Claims (9, 10, 11, 12, 13)
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14. A computer-implemented method of linking a market for a spread product that comprises multiple legs of underlying financial instruments with a market for the underlying financial instruments, the method comprising:
creating a multiple financial instrument leg having a nonstandard tick level with multiple financial instruments having prices that have standard tick levels and when combined result in the nonstandard tick level. - View Dependent Claims (15, 16)
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17. A trading system comprising:
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an implied spread product module that receives an order for a spread product and creates an implied spread product that consists of underlying financial instruments; and
an match engine module that matches the order for the spread product with orders for the underlying financial instruments. - View Dependent Claims (18, 19)
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Specification