Leg pricer
First Claim
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1. An apparatus comprising:
- an input operable to receive a first roundable spread order comprising two or more leg orders and a first price increment and a second roundable spread order comprising two or more leg orders and a second price increment, wherein the first price increment is different than the second price increment; and
a processor operable to calculate leg prices for each of the at least two or more leg orders of the first roundable spread order and the second roundable spread order, wherein the leg prices are multiples of the first price increment or the second price increment and wherein the processor is configured to round the leg prices according to an optimal rounding scenario distributing gains and losses between a first trader receiving the first roundable spread order and a second trader receiving the second roundable spread order.
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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. The tradable combinations may include spread orders where one leg of the spread has a different tick size than the other or where the tick of the spread contract is different from the tick size in one or both legs. A method and system for calculating on-tick leg prices in an equitable and predictable manner is provided.
154 Citations
20 Claims
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1. An apparatus comprising:
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an input operable to receive a first roundable spread order comprising two or more leg orders and a first price increment and a second roundable spread order comprising two or more leg orders and a second price increment, wherein the first price increment is different than the second price increment; and a processor operable to calculate leg prices for each of the at least two or more leg orders of the first roundable spread order and the second roundable spread order, wherein the leg prices are multiples of the first price increment or the second price increment and wherein the processor is configured to round the leg prices according to an optimal rounding scenario distributing gains and losses between a first trader receiving the first roundable spread order and a second trader receiving the second roundable spread order. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10)
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11. A computer implemented method comprising:
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identifying, by a processor, a first roundable spread order comprising two or more leg orders and a first price increment and a second roundable spread order comprising two or more leg orders and a second price increment, wherein the first price increment is different than the second price increment; determining, by the processor, an optimal rounding scenario for rounding leg prices of the two or more leg orders of the first roundable spread order and the second roundable spread order, wherein the optimal rounding scenario ensures that the leg prices are on-tick and that fractional gains and losses to each trader associated with the first roundable spread order and the second roundable spread order are minimized with respect to each other; and rounding, by the processor, prices of the legs of the first roundable spread order and the second roundable spread order using the optimal rounding scenario. - View Dependent Claims (12, 13, 14, 15, 16, 17)
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18. A non-transitory computer readable medium including instructions that when executed are operable to control a processor to:
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identify a tradable combination including a first roundable spread order comprising two or more leg orders and a first price increment and a second roundable spread order comprising two or more leg orders and a second price increment, wherein the first price increment is different than the second price increment; determine an optimal rounding scenario for rounding leg prices of the two or more leg orders of the first roundable spread order and the second roundable spread order, wherein the optimal rounding scenario ensures that the leg prices are on-tick and that fractional gains and losses to each trader associated with the first roundable spread order and the second roundable spread order are minimized with respect to each other; and round the leg prices of the first roundable spread order and the second roundable spread order using the optimal rounding scenario. - View Dependent Claims (19, 20)
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Specification