Transformation of a multi-leg security definition for calculation of implied orders in an electronic trading system
First Claim
1. A computer implemented method of transforming a set of orders to buy and sell into a form from which an implied order may be generated, the method comprising:
- receiving, by a processor, the set of orders to buy and sell, each order of the set orders being for an associated quantity of one or more units of an item of a plurality of items tradeable on an exchange, wherein the associated quantity of one order of the set of orders may be different from the associated quantity of another order of the set of orders;
converting, by the processor, the set of orders into a unit order set comprising a separate buy order for each unit of the associated quantity of each buy order of the set of orders and a separate sell order for each unit of the associated quantity of each sell order of the set of orders;
identifying, by the processor, at least one minimal set comprising a unique subset of the unit order set; and
wherein at least one implied order may be computed, by the processor, based on the at least one minimal set, each of the at least one implied order comprising at least two orders of the unit order set characterized by a 1;
1 volume ratio.
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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. A technique is disclosed for transforming a combination or strategy contract with an arbitrary number of buy and sell legs with an arbitrary volume ratio for each leg into a form that can be used for rapid implied order calculations.
138 Citations
29 Claims
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1. A computer implemented method of transforming a set of orders to buy and sell into a form from which an implied order may be generated, the method comprising:
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receiving, by a processor, the set of orders to buy and sell, each order of the set orders being for an associated quantity of one or more units of an item of a plurality of items tradeable on an exchange, wherein the associated quantity of one order of the set of orders may be different from the associated quantity of another order of the set of orders; converting, by the processor, the set of orders into a unit order set comprising a separate buy order for each unit of the associated quantity of each buy order of the set of orders and a separate sell order for each unit of the associated quantity of each sell order of the set of orders; identifying, by the processor, at least one minimal set comprising a unique subset of the unit order set; and wherein at least one implied order may be computed, by the processor, based on the at least one minimal set, each of the at least one implied order comprising at least two orders of the unit order set characterized by a 1;
1 volume ratio. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13)
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14. A system for transforming a set of orders to buy and sell into a form from which an implied order may be generated, the system comprising a processor and a memory coupled therewith, the system further comprising:
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an order receiver computer program stored in the memory and executable by the processor to cause the processor to receive the set of orders to buy and sell, each order of the set orders being for an associated quantity of one or more units of an item of a plurality of items tradeable on an exchange, wherein the associated quantity of one order of the set of orders may be different from the associated quantity of another order of the set of orders; a unit order set converter computer program stored in the memory and coupled with the order receiver computer program and executable by the processor to cause the processor to convert the set of orders into a unit order set comprising a separate buy order for each unit of the associated quantity of each buy order of the set of orders and a separate sell order for each unit of the associated quantity of each sell order of the set of orders; a minimal set identifier computer program stored in the memory and coupled with the unit order set converter computer program and executable by the processor to cause the processor to identify at least one minimal set comprising a unique subset of the unit order set; and wherein at least one implied order may be computed, by the processor, based on the at least one minimal set, each of the at least one implied order comprising at least two orders of the unit order set characterized by a 1;
1 volume ratio. - View Dependent Claims (15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26)
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27. A system for transforming a set of orders to buy and sell into a form from which an implied order may be generated, the system comprising:
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means for receiving the set of orders to buy and sell, each order of the set orders being for an associated quantity of one or more units of an item of a plurality of items tradeable on an exchange, wherein the associated quantity of one order of the set of orders may be different from the associated quantity of another order of the set of orders; means for converting the set of orders into a unit order set comprising a separate buy order for each unit of the associated quantity of each buy order of the set of orders and a separate sell order for each unit of the associated quantity of each sell order of the set of orders; means for identifying at least one minimal set comprising a unique subset of the unit order set; and wherein at least one implied order may be computed based on the at least one minimal set, each of the at least one implied order comprising at least two orders of the unit order set characterized by a 1;
1 volume ratio. - View Dependent Claims (28, 29)
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Specification