System and method for determining implied market information
First Claim
1. A method including:
- generating by a computing device a plurality of identity vectors, wherein each identity vector represents a different tradeable object of a plurality of tradeable objects, wherein the plurality of tradeable objects includes one or more strategy markets, wherein each of the one or more strategy markets includes two or more tradeable objects of the plurality of tradeable objects, wherein each identity vector is of a dimension equal to a number of tradeable objects in the plurality of tradeable objects;
generating by the computing device one or more definition vectors, wherein each definition vector represents one of the one or more strategy markets, wherein each definition vector is of a dimension equal to the number of tradeable objects in the plurality of tradeable objects;
iteratively generating by the computing device a plurality of combination vectors based on at least two vectors of a plurality of available vectors using vector substitution, wherein the plurality of available vectors includes the identity vectors, the definition vectors, and previously generated combination vectors, wherein each of the plurality of combination vectors represents an independent market combination for one of the tradeable objects in the plurality of tradeable objects;
determining by the computing device implied market information using the plurality of combination vectors, wherein the implied market information includes implied order prices for one or more of the plurality of tradeable objects; and
providing by the computing device the implied market information to a second computing device.
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Abstract
Implied prices and their quantities are computed. Markets are characterized by exhaustively computing one or more combinations of other related markets. Each combination when summed in a particular way results in the market under consideration. In a described embodiment, the number of market combinations found is an exhaustive list of market combinations such that the market under consideration can be fully and completely characterized, such that each combination provides implied market information about the market under consideration. Implied market information can include implied prices and their quantities, which are computed for each combination and used accordingly in displays or used by automated or semi-automated trading tools.
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Citations
38 Claims
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1. A method including:
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generating by a computing device a plurality of identity vectors, wherein each identity vector represents a different tradeable object of a plurality of tradeable objects, wherein the plurality of tradeable objects includes one or more strategy markets, wherein each of the one or more strategy markets includes two or more tradeable objects of the plurality of tradeable objects, wherein each identity vector is of a dimension equal to a number of tradeable objects in the plurality of tradeable objects; generating by the computing device one or more definition vectors, wherein each definition vector represents one of the one or more strategy markets, wherein each definition vector is of a dimension equal to the number of tradeable objects in the plurality of tradeable objects; iteratively generating by the computing device a plurality of combination vectors based on at least two vectors of a plurality of available vectors using vector substitution, wherein the plurality of available vectors includes the identity vectors, the definition vectors, and previously generated combination vectors, wherein each of the plurality of combination vectors represents an independent market combination for one of the tradeable objects in the plurality of tradeable objects; determining by the computing device implied market information using the plurality of combination vectors, wherein the implied market information includes implied order prices for one or more of the plurality of tradeable objects; and providing by the computing device the implied market information to a second computing device. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19)
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20. A computer readable medium having stored therein instructions executable by a processor, wherein the instructions are executable to:
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generate a plurality of identity vectors, wherein each identity vector represents a different tradeable object of a plurality of tradeable objects, wherein the plurality of tradeable objects includes one or more strategy markets, wherein each of the one or more strategy markets includes two or more tradeable objects of the plurality of tradeable objects, wherein each identity vector is of a dimension equal to a number of tradeable objects in the plurality of tradeable objects; generate one or more definition vectors, wherein each definition vector represents one of the one or more strategy markets, wherein each definition vector is of a dimension equal to the number of tradeable objects in the plurality of tradeable objects; iteratively generate a plurality of combination vectors based on at least two vectors of a plurality of available vectors using vector substitution, wherein the plurality of available vectors includes the identity vectors, the definition vectors, and previously generated combination vectors, wherein each of the plurality of combination vectors represents an independent market combination for one of the tradeable objects in the plurality of tradeable objects; determine implied market information using the plurality of combination vectors, wherein the implied market information includes implied order prices for one or more of the plurality of tradeable objects; and provide the implied market information to a second computing device. - View Dependent Claims (21, 22, 23, 24, 25, 26, 27, 28, 29, 30, 31, 32, 33, 34, 35, 36, 37, 38)
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Specification