CONTROLLING IMPLIED MARKETS DURING A STOP LOSS TRIGGER
First Claim
1. A system that mitigates the effects of rises or falls in market prices caused by the execution of a conditional order for products within a trading unit comprising:
- an order book manager that receives orders;
an order processor that compares an execution price of the conditional order to a predetermined price threshold;
a spike control processor that delays the matching of orders received by the order book manager when an execution price of the conditional order lies outside of the predetermined price threshold, the spike control processor compares an indicative opening price to the predetermined price threshold;
an open market processor that opens a market when the indicative opening price lies within the predetermined price threshold; and
an open implied market processor that opens an implied order market when all products within the trading unit are not in reserve.
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Abstract
A system mitigates the effects of a market spike caused by the triggering and the election of a conditional order in an automated matching system. Conditional orders submitted to a trading engine are evaluated to compare a price of an order to a predetermined price range. Matching of the orders may be delayed when the price of the orders lies outside of the predetermined price range. An opening price to be used by the trading engine is derived and a time interval is used to delay a matching of the orders until the opening price is within a predetermined price range up to a maximum delay time set by a control center. Implied spreads are also removed until other instruments within a trading unit are verified open.
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Citations
22 Claims
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1. A system that mitigates the effects of rises or falls in market prices caused by the execution of a conditional order for products within a trading unit comprising:
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an order book manager that receives orders; an order processor that compares an execution price of the conditional order to a predetermined price threshold; a spike control processor that delays the matching of orders received by the order book manager when an execution price of the conditional order lies outside of the predetermined price threshold, the spike control processor compares an indicative opening price to the predetermined price threshold; an open market processor that opens a market when the indicative opening price lies within the predetermined price threshold; and an open implied market processor that opens an implied order market when all products within the trading unit are not in reserve. - View Dependent Claims (2, 3, 4, 5)
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6. A system for mitigating effects of rises or falls in market prices caused by execution of a conditional order for one of a plurality of products within a trading unit, the system comprising:
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an order book manager operative to receive the conditional order; an order processor coupled with the order book manager and operative to compare an execution price of the conditional order, prior to matching thereof, to a predetermined price threshold; a spike control processor coupled with the order processor and operative to suspend matching of orders for at least the one of the plurality of products within the trading unit when the execution price lies outside of the predetermined price threshold, the spike control processor being further operative to periodically determine and compare an indicative opening price for the at least the one of the plurality of products within the trading unit to the predetermined price threshold; and an open market processor coupled with the spike control processor and operative to enable matching of orders for the at least the one of the plurality of products within the trading unit when the indicative opening price lies within the predetermined price threshold. - View Dependent Claims (7, 8, 9, 10, 11)
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12. A method of mitigating the effects of rises or falls in market prices caused by the execution of a conditional order for products within a trading unit comprising:
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receiving orders; comparing an execution price of the conditional order to a predetermined price threshold; delaying the matching of received orders when an execution price of the conditional order lies outside of the predetermined price threshold and comparing an indicative opening price to the predetermined price threshold; opening a market when the indicative opening price lies within the predetermined price threshold; and opening an implied order market when all products within the trading unit are not in reserve. - View Dependent Claims (13, 14, 15, 16)
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17. A method for mitigating effects of rises or falls in market prices caused by execution of a conditional order for one of a plurality of products within a trading unit, the method comprising:
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receiving the conditional order; comparing an execution price of the conditional order, prior to matching thereof, to a predetermined price threshold; suspending matching of orders for at least the one of the plurality of products within the trading unit when the execution price lies outside of the predetermined price threshold; determining and comparing, periodically, an indicative opening price for the at least the one of the plurality of products within the trading unit to the predetermined price threshold; and enabling matching of orders for the at least the one of the plurality of products within the trading unit when the indicative opening price lies within the predetermined price threshold. - View Dependent Claims (18, 19, 20, 21, 22)
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Specification