MARKET DRIVEN IMPLIED TRADE RESOLUTION
First Claim
1. A computer implemented method for improving efficiency of a trading system, the trading system comprising a processor and a match engine coupled therewith, the match engine being operative to match an order for an instrument with another order counter thereto to at least partially satisfy one or both of the order or the other order, the method comprising:
- disabling, by the processor, the processor from identifying to the match engine, a first set of orders, each order of the first set of orders being for a different instrument at an associated order price, wherein if identified to the match engine, one or more of the orders of the first set of orders would be used by the match engine to at least partially satisfy, at an associated match price, the remaining orders of the first set of orders;
receiving, by the processor, each order of the first set of orders;
determining, by the processor subsequent to the receiving of all of the orders of the first set of orders, that an event has occurred and, based thereon further determining by the processor whether the associated match price for any order of the first set of orders would be better than the associated order price thereof; and
enabling, by the processor when the associated match price for each order of the first set of orders would not be better than the associated order price thereof, identification to the match engine, upon receipt of a subsequent order for a same instrument associated with any of the orders of the first set of orders, of a second set of orders comprising the subsequent order and a subset of orders of the first set of orders wherein, if identified to the match engine, one or more of the orders of the second set of orders would be used by the match engine to at least partially satisfy the remaining orders of the second set of orders.
1 Assignment
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Accused Products
Abstract
An electronic trading system utilizes a Match Engine that receives orders, stores them internally, calculates tradable combinations and advertises the availability of real and implied orders in the form of market data. New tradable items defined as combinations of other tradable items may be included in the calculation of tradable combinations. The disclosed embodiments relate to detection of market conditions where identification of implied opportunities may, for example, subvert real orders resulting in undesirable effects. Under circumstances where such undesirable effects are likely to occur, identification of implied opportunities may be delayed thereby allowing market forces to attempt to resolve the aberrant market conditions and avoid the undesirable effects.
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Citations
37 Claims
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1. A computer implemented method for improving efficiency of a trading system, the trading system comprising a processor and a match engine coupled therewith, the match engine being operative to match an order for an instrument with another order counter thereto to at least partially satisfy one or both of the order or the other order, the method comprising:
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disabling, by the processor, the processor from identifying to the match engine, a first set of orders, each order of the first set of orders being for a different instrument at an associated order price, wherein if identified to the match engine, one or more of the orders of the first set of orders would be used by the match engine to at least partially satisfy, at an associated match price, the remaining orders of the first set of orders; receiving, by the processor, each order of the first set of orders; determining, by the processor subsequent to the receiving of all of the orders of the first set of orders, that an event has occurred and, based thereon further determining by the processor whether the associated match price for any order of the first set of orders would be better than the associated order price thereof; and enabling, by the processor when the associated match price for each order of the first set of orders would not be better than the associated order price thereof, identification to the match engine, upon receipt of a subsequent order for a same instrument associated with any of the orders of the first set of orders, of a second set of orders comprising the subsequent order and a subset of orders of the first set of orders wherein, if identified to the match engine, one or more of the orders of the second set of orders would be used by the match engine to at least partially satisfy the remaining orders of the second set of orders. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17)
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18. A system for improving trading efficiency of a match engine operative to match an order for an instrument with another order counter thereto to at least partially satisfy one or both of the order or the other order, the system comprising an implied opportunity identifier, the system further comprising:
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an implied opportunity controller coupled with the implied opportunity identifier and operative to disable identification, by the implied opportunity identifier, to the match engine, a first set of orders, each order of the first set of orders being for a different instrument at an associated order price, wherein if identified to the match engine, one or more of the orders of the first set of orders would be used by the match engine to at least partially satisfy, at an associated match price, the remaining orders of the first set of orders; and wherein the implied opportunity controller is further operative to determine, subsequent to the receipt of all of the orders of the first set of orders, that an event has occurred and, based thereon further determine whether the associated match price for any order of the first set of orders would be better than the associated order price thereof, and enable, when the associated match price for each order of the first set of orders would not be better than the associated order price thereof, identification to the match engine by the implied opportunity identifier, upon receipt of a subsequent order for a same instrument associated with any of the orders of the first set of orders, of a second set of orders comprising the subsequent order and a subset of orders of the first set of orders wherein, if identified to the match engine, one or more of the orders of the second set of orders would be used by the match engine to at least partially satisfy the remaining orders of the second set of orders. - View Dependent Claims (19, 20, 21, 22, 23, 24, 25, 26, 27, 28, 29, 30, 31, 32, 33, 34)
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35. A system for improving efficiency of a trading system comprising a match engine operative to match an order for an instrument with another order counter thereto to at least partially satisfy one or both of the order or the other order, the system comprising:
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means for disabling identification to the match engine, a first set of orders, each order of the first set of orders being for a different instrument at an associated order price, wherein if identified to the match engine, one or more of the orders of the first set of orders would be used by the match engine to at least partially satisfy, at an associated match price, the remaining orders of the first set of orders; means for receiving each order of the first set of orders; means for determining, subsequent to the receiving of all of the orders of the first set of orders, that an event has occurred and, based thereon further determining whether the associated match price for any order of the first set of orders would be better than the associated order price thereof; and means for enabling, when the associated match price for each order of the first set of orders would not be better than the associated order price thereof, identification to the match engine, upon receipt of a subsequent order for a same instrument associated with any of the orders of the first set of orders, of a second set of orders comprising the subsequent order and a subset of orders of the first set of orders wherein, if identified to the match engine, one or more of the orders of the second set of orders would be used by the match engine to at least partially satisfy the remaining orders of the second set of orders.
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36. A system for improving trading efficiency of a match engine operative to match an order for an instrument with another order counter thereto to at least partially satisfy one or both of the order or the other order, the system comprising a processor and a memory coupled therewith, the system further comprising:
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logic stored in the memory and executable by the processor to disable identification to the match engine, a first set of orders, each order of the first set of orders being for a different instrument at an associated order price, wherein if identified to the match engine, one or more of the orders of the first set of orders would be used by the match engine to at least partially satisfy, at an associated match price, the remaining orders of the first set of orders; and wherein the logic is further executable by the processor to determine, subsequent to the receipt of all of the orders of the first set of orders, that an event has occurred and, based thereon further determine whether the associated match price for any order of the first set of orders would be better than the associated order price thereof, and enable, when the associated match price for each order of the first set of orders would not be better than the associated order price thereof, identification to the match engine, upon receipt of a subsequent order for a same instrument associated with any of the orders of the first set of orders, of a second set of orders comprising the subsequent order and a subset of orders of the first set of orders wherein, if identified to the match engine, one or more of the orders of the second set of orders would be used by the match engine to at least partially satisfy the remaining orders of the second set of orders.
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37. A computer implemented method for improving efficiency of a trading system, the trading system comprising a processor and a match engine coupled therewith, the match engine being operative to match an order for an instrument with another order counter thereto to at least partially satisfy one or both of the order or the other order, the method comprising:
delaying, by the processor, identification, to the match engine, of an order implied by a plurality of resting orders, each resting in a different market, when an opportunity exists to arbitrage among the plurality of resting orders.
Specification