Determination of implied orders in a trade matching system
First Claim
1. A computer implemented method comprising:
- receiving a plurality of real orders, wherein the real orders are not tradable against each other;
identifying, by a processor, a plurality of implied orders from the real orders;
determining, by the processor, bid/ask spreads for the implied orders;
filtering, by the processor, 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 orders and not the remaining implied orders.
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Accused Products
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.
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Citations
20 Claims
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1. A computer implemented method comprising:
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receiving a plurality of real orders, wherein the real orders are not tradable against each other; identifying, by a processor, a plurality of implied orders from the real orders; determining, by the processor, bid/ask spreads for the implied orders; filtering, by the processor, 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 orders and not the remaining implied orders. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11)
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12. A non-transitory computer readable medium storing instructions that, when executed, causes a computer at least to perform:
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receiving a plurality of real orders, wherein the real orders are not tradable against each other; identifying a plurality of implied orders from the real orders; 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 orders and not the remaining implied orders. - View Dependent Claims (13, 14, 15, 16)
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17. An apparatus comprising:
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a processor; a memory storing instructions that, when executed by the processor, cause the apparatus at least to perform; receiving a plurality of real orders, wherein the real orders are not tradable against each other; identifying a plurality of implied orders from the real orders; 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 orders and not the remaining implied orders. - View Dependent Claims (18, 19, 20)
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Specification