DERIVATIVES TRADING METHODS THAT USE A VARIABLE ORDER PRICE AND A HEDGE TRANSACTION
First Claim
1. A method of synthetically matching unresolved hedge transaction orders for orders belonging to a common class, the method comprising:
- (a) prioritizing unresolved hedge transaction orders having a positive value of an order risk variable;
(b) prioritizing unresolved hedge transaction orders having a negative value of the order risk variable; and
(c) synthetically matching the unresolved hedge transaction orders according to the priorities identified in (a) and (b).
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Accused Products
Abstract
Systems and methods are provided for executing a hedge transaction in connection with the execution of a derivative product order in which the price of the derivative product is defined by one or more variables. The hedge transaction may be executed at an exchange or match engine that is different from the exchange or match engine executing the derivative product order. The execution of derivative product transaction may be contingent on the existence of an appropriate hedge transaction. Alternatively, a best efforts approach may be used to fill the hedge transaction order after executing the derivative product transaction.
112 Citations
7 Claims
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1. A method of synthetically matching unresolved hedge transaction orders for orders belonging to a common class, the method comprising:
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(a) prioritizing unresolved hedge transaction orders having a positive value of an order risk variable;
(b) prioritizing unresolved hedge transaction orders having a negative value of the order risk variable; and
(c) synthetically matching the unresolved hedge transaction orders according to the priorities identified in (a) and (b). - View Dependent Claims (2, 3, 4, 5, 6, 7)
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Specification