Controlling Implied Markets During a Stop Loss Trigger
First Claim
1. A computer implemented 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:
- receiving, by a processor, the conditional order;
comparing, by the processor, an execution price of the conditional order, prior to matching thereof, to a predetermined price threshold;
suspending, by the processor, 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, by the processor 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, by the processor, 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.
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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
20 Claims
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1. A computer implemented 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, by a processor, the conditional order; comparing, by the processor, an execution price of the conditional order, prior to matching thereof, to a predetermined price threshold; suspending, by the processor, 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, by the processor 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, by the processor, 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 (2, 3, 4, 5, 6)
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7. A computer implemented method for mitigating the effects of rises or falls in market prices caused by the execution of a conditional order for products within a trading unit, the method comprising:
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receiving, by a processor, a plurality of orders; comparing, by the processor, an execution price of the conditional order to a predetermined price threshold; delaying, by the processor, 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; comparing, by the processor, an indicative opening price to the predetermined price threshold; opening, by the processor, a market when the indicative opening price lies within the predetermined price threshold; and opening, by the processor, an implied order market when all products within the trading unit are not in reserve. - View Dependent Claims (8, 9, 10, 11)
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12. A computer implemented 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, by a processor, the conditional order; comparing, by the processor, an execution price of the conditional order, prior to matching thereof, to a predetermined price threshold; determining, by the processor, whether the execution price of the conditional order lies outside the predetermined price threshold; and when the execution price of the conditional order is determined to lie outside the predetermined price threshold, suspending, by the processor, matching of orders for at least the one of the plurality of products within the trading unit, determining and comparing, by the processor 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, by the processor, matching of orders for the at least the one of the plurality of products within the trading unit when the indicative opening price is determined is determined to lie within the predetermined price threshold. - View Dependent Claims (13, 14, 15, 16, 17)
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18. A computer implemented method for mitigating the effects of rises or falls in market prices caused by the execution of a conditional order for products within a trading unit, the method comprising:
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receiving, by a processor, a plurality of orders; determining, by the processor, whether an execution price of the conditional order lies outside of a predetermined price threshold; and when the execution price of the conditional order is determined to lie outside of the predetermined price threshold, delaying, by the processor, the matching of orders received by the order book manager, comparing, by the processor, an indicative opening price to the predetermined price threshold, and opening, by the processor, a market when the indicative opening price is determined to lie within the predetermined price threshold; and
, further, opening, by the processor, an implied order market when all products within the trading unit are not in reserve. - View Dependent Claims (19, 20)
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Specification