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Rule Based Vector Space Model For Creating Implied Trade Templates

  • US 20110066567A1
  • Filed: 09/14/2009
  • Published: 03/17/2011
  • Est. Priority Date: 09/14/2009
  • Status: Active Grant
First Claim
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1. A computer implemented method of optimizing the computation of implied orders to a electronic trading system, the method comprising:

  • representing three or more financial products using a plurality of vectors having a number of columns, wherein the number of columns is equal to the number of unique legs making up the financial products;

    defining a first order as a first vector of the plurality of vectors;

    identifying a list of candidate vectors from the plurality of vectors, each candidate vector having at least one nonzero column in common with the first vector;

    selecting a second vector from the list of candidate vectors;

    adding the first vector to the second vector to define a first intermediate vector;

    removing the second vector from the list of candidate vectors; and

    outputting, to the electronic trading system, a first implied order corresponding to the second vector, if the first intermediate vector has no nonzero columns.

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