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Controlling implied markets during a stop loss trigger

  • US 8,112,347 B2
  • Filed: 09/13/2007
  • Issued: 02/07/2012
  • Est. Priority Date: 07/25/2003
  • Status: Active Grant
First Claim
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1. A computer readable medium storing instructions which when executed mitigate the effects of a market spike caused by the triggering of conditional orders for products within a trading unit, the computer readable medium comprising:

  • an evaluation logic that monitors orders submitted to an automated trading engine in an automated matching system, the evaluation logic configured to compare an execution price of a conditional order to a predetermined price range;

    a delay logic that delays a matching of the orders submitted to the automated trading engine when the execution price lies outside of the predetermined price range;

    a pricing logic that derives an opening price to be used by the automated trading engine;

    a timing logic that measures a time interval used to further delay a matching of the orders until the opening price is within a second predetermined price range; and

    a verification logic that verifies that legs of an implied order are not in a reserved state, the verification logic configured to delay a matching of implied orders until all legs of the implied order are verified as not in the reserved state.

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