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TRANSFORMATION OF A MULTI-LEG SECURITY DEFINITION FOR CALCULATION OF IMPLIED ORDERS IN AN ELECTRONIC TRADING SYSTEM

  • US 20110066568A1
  • Filed: 09/15/2009
  • Published: 03/17/2011
  • Est. Priority Date: 09/15/2009
  • Status: Active Grant
First Claim
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1. A method of transforming a set of orders comprising at least one buy order and at least one sell order, each being for a quantity of one or more units of an item tradeable on an exchange, into at least one minimal set of at least one order subset, each order subset comprising one buy order for one unit and one sell order for one unit, the method comprising:

  • converting the set of orders into a unit order set comprising separate buy and sell orders for each unit of the respective quantity of the corresponding at least one buy order and at least one sell order of the set of orders; and

    identifying each of the at least one minimal set as a unique set of order subsets of the unit order set.

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