UTILIZING A TRIGGER ORDER WITH MULTIPLE COUNTERPARTIES IN IMPLIED MARKET TRADING
First Claim
Patent Images
1. A computer implemented method of computing implied orders in an electronic trading system, the method comprising:
- receiving a first real order;
receiving a second real order;
determining whether a first tradable combination can be formed including at least the first real order and the second real order;
executing, if the first tradable combination can be formed, a trade associated with the first tradable combination, using the electronic trading system;
adjusting, if the first tradable combination can be formed, at least one property of the first real order and the second real order;
calculating, if the first tradable combination can be formed, one or more first implied orders from the real orders after the at least one property has been adjusted;
calculating, if the first tradable combination cannot be formed, one or more second implied orders;
outputting either the first implied orders or the second implied orders to the electronic trading system;
receiving a third real order;
identifying a second tradable combination including at least the first real order, the second real order, and the third real order, wherein at least one of the first real order, the second real order, and the third real order is used two or more times in the second tradable combination; and
executing a trade associated with the second tradable combination using the electronic trading system.
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Abstract
An electronic trading system utilizes a Match Engine that receives orders, stores them internally, calculates tradeable combinations and advertises the availability of real and implied orders in the form of market data. Calculating tradeable combinations or cycles for certain strategies becomes complex. Strategies that utilize legs having different volume ratios may form tradeable combinations that will traverse a trigger order more than one time.
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Citations
22 Claims
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1. A computer implemented method of computing implied orders in an electronic trading system, the method comprising:
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receiving a first real order; receiving a second real order; determining whether a first tradable combination can be formed including at least the first real order and the second real order; executing, if the first tradable combination can be formed, a trade associated with the first tradable combination, using the electronic trading system; adjusting, if the first tradable combination can be formed, at least one property of the first real order and the second real order; calculating, if the first tradable combination can be formed, one or more first implied orders from the real orders after the at least one property has been adjusted; calculating, if the first tradable combination cannot be formed, one or more second implied orders; outputting either the first implied orders or the second implied orders to the electronic trading system; receiving a third real order; identifying a second tradable combination including at least the first real order, the second real order, and the third real order, wherein at least one of the first real order, the second real order, and the third real order is used two or more times in the second tradable combination; and executing a trade associated with the second tradable combination using the electronic trading system. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11)
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12. An electronic trading system comprising:
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a match engine order submission point configured to receive at least a first real order and a second real order; a match engine processor configured to identifying a tradable combination and an implied order, wherein the tradable combination includes the first real order, the second real order, and a trigger order tradable with the implied order, wherein at least one of the first real order, the second real order, and the trigger order is used two or more times in the tradable combination; and a reporting device configured to output a representation of at least one of the tradable combination and the implied order to the electronic trading system. - View Dependent Claims (13, 14, 15, 16, 17, 18, 19, 20, 21)
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22. A computer implemented method of providing implied orders in an electronic trading system, the method comprising:
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receiving a trigger order at a match engine; identifying a tradable cycle comprising the trigger order, a resting order, and a real order, wherein the trigger order is used two or more times in the tradable cycle; and outputting the tradable cycle to the electronic trading system.
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Specification