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Determination of Implied Orders in a Trade Matching System

  • US 20100174633A1
  • Filed: 01/08/2009
  • Published: 07/08/2010
  • Est. Priority Date: 01/08/2009
  • Status: Active Grant
First Claim
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1. A computer implemented method for trading implied orders in an electronic trading system, comprising:

  • receiving at a match engine a first set of one or more real orders, wherein the orders are not tradable against each other;

    identifying one or more implied orders calculated from the real orders in the first set of real orders, wherein the one or more implied orders form one or more groups of related implied orders;

    assigning the one or more groups of related implied orders to parallel threads of execution within the match engine;

    receiving at least one additional real order at the match engine;

    determining whether the additional real order is tradable against one or more real orders within the first set of real orders utilizing one or more implied order groups;

    executing a trade between the at least one additional real order and one or more real orders within the first set of real orders;

    updating the first set of real orders to reflect the trade; and

    identifying one or more implied orders calculated from the real orders in the updated set of real orders.

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