Determination of Implied Orders in a Trade Matching System

• US 20150317735A1
• Filed: 07/13/2015
• Published: 11/05/2015
• Est. Priority Date: 01/08/2009
• Status: Active Grant

• Current Assignee: New York Mercantile Exchange Incorporated (CME Group Incorporated)
• Original Assignee: New York Mercantile Exchange Incorporated (CME Group Incorporated)
• Inventors: Milne, Andrew, Sedlin, Aleksandr
• Granted Patent: US 10,395,316 B2
• Time in Patent Office: Days
• US Class Current: 1/1
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A computer implemented method for determining implied orders in an electronic trading system is provided. The method comprises receiving a first set of one or more real orders, wherein the orders are not tradable against each other. One or more implied orders are identified within the first set of real orders. Market data corresponding to the implied orders can also be identified. At least one additional order is received and the tradability of the additional order is determined against the real or implied orders within the first set of real orders. A resting set of orders is determined from those real and implied orders within the first set of orders not affected by the tradability of the additional order. Implied orders are determined from within the set of resting orders.

Claims

1. An electronic trading system comprising:

a validator that checks the properties of the new order against established criteria;

a database that stores orders;

a match engine that receives orders from the validator and transmits orders to the database and that includes a processor;

a computer-readable medium that contains computer program instructions that cause the processor to perform the steps comprising;

identifying a plurality of implied orders from the real orders that are not tradable against each other;

determining bid/ask spreads for the implied orders;

filtering the implied orders to generate a first subset of the implied orders each having a bid/ask spread that is less than a threshold; and

publishing market data on the first subset of the implied.

2. The electronic trading system claim 1, further comprising computer program instructions that cause the processor to perform the steps comprising:

determining a second subset of the implied orders each having a bid/ask spread that exceeds the threshold, wherein the second subset differs from the first subset; and

publishing market data on the second subset in response to determining that a number of messages exceeds a message count threshold.

3. The electronic trading system of claim 1, wherein identifying of the implied orders comprises calculation of one or more shortest path trees using a shortest path algorithm.

4. The electronic trading system of claim 3, further comprising computer program instructions that cause the processor to perform the step comprising terminating the shortest path algorithm based on the threshold.

5. The electronic trading system of claim 3, further comprising computer program instructions that cause the processor to perform the step comprising determining a shortest path by the shortest path algorithm as a function of price path, price volume, and path time.

6. The electronic trading system of claim 5, wherein the price path is a sum of prices in the shortest path.

7. The electronic trading system of claim 5, wherein the price volume is based on a minimum volume of any component edge within the shortest path.

8. The electronic trading system of claim 5, wherein the path time is based on a time priority number of any component edge within the shortest path.

9. The electronic trading system of claim 1, wherein the threshold is common to a plurality of contracts.

10. The electronic trading system of claim 1, wherein the threshold is different for each of a plurality of contracts.

11. The electronic trading system of claim 1, wherein the threshold is based on a number of ticks between a best bid and a best ask.

12. A system comprising:

a match engine that receives orders from the validator and transmits orders to the database and that includes a processor;

a computer-readable medium that contains computer program instructions that cause the processor to perform the steps comprising;

identifying a plurality of implied orders from the real orders that are not tradable against each other;

determining bid/ask spreads for the implied orders;

filtering the implied orders to generate a first subset of the implied orders each having a bid/ask spread that is less than a threshold;

publishing market data on the first subset of the implied;

a ticker plant that aggregates market data; and

a market data distribution server that receives market data from the ticker plant and transmits market data to client computer devices.

13. The system of claim 12, further comprising computer program instructions that cause the processor to perform the steps comprising:

determining a second subset of the implied orders each having a bid/ask spread that exceeds the threshold, wherein the second subset differs from the first subset; and

publishing market data on the second subset in response to determining that a number of messages exceeds a message count threshold.

14. The system of claim 12, wherein identifying of the implied orders comprises calculation of one or more shortest path trees using a shortest path algorithm.

15. The system of claim 14, further comprising computer program instructions that cause the processor to perform the step comprising terminating the shortest path algorithm based on the threshold.

16. The system of claim 14, further comprising computer program instructions that cause the processor to perform the step comprising determining a shortest path by the shortest path algorithm as a function of price path, price volume, and path time.

17. The system of claim 16, wherein the price path is a sum of prices in the shortest path.

18. The system of claim 16, wherein the price volume is based on a minimum volume of any component edge within the shortest path.

19. The system of claim 16, wherein the path time is based on a time priority number of any component edge within the shortest path.

20. The system of claim 12, wherein the threshold is common to a plurality of contracts.