Controlling markets during a stop loss trigger
First Claim
1. A system that mitigates the effects of rises or falls in market prices caused by the execution of a conditional order, comprising:
- an order book manager that receives a plurality of orders;
an order processor that compares an execution price of the conditional order to a predetermined price threshold; and
a spike control processor that controls the matching of at least one order of the plurality of orders received by the order book manager when the price of the conditional order lies beyond the predetermined price threshold, those orders of the plurality of orders received by the order book manager which have a price within the predetermined price threshold being matched at the predetermined price threshold against other orders of the plurality of orders which have a price beyond the predetermined price threshold.
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Abstract
A system mitigates market spike effects caused by conditional ordering triggering and election in an automated matching system. The system monitors trading as a result of cascading triggering of conditional orders. When an order is executed beyond a predetermined price threshold, an instrument may be flagged, allowing matching to occur only at or within the predetermined price threshold. Orders within the price threshold are matched at the price threshold against orders beyond it, dampening any instantaneous damaging effects of the price spike. The system may adjust the price threshold when market appropriate, allowing the order flow to bring the market back to whatever is the true price level. The system mitigates purely conditional order cascade driven price fluctuations, but allows the market to continuously trade in controlled price and time intervals ensuring that true market moves can still occur without price control mechanisms hindering trade matching and true price discovery.
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Citations
6 Claims
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1. A system that mitigates the effects of rises or falls in market prices caused by the execution of a conditional order, comprising:
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an order book manager that receives a plurality of orders; an order processor that compares an execution price of the conditional order to a predetermined price threshold; and a spike control processor that controls the matching of at least one order of the plurality of orders received by the order book manager when the price of the conditional order lies beyond the predetermined price threshold, those orders of the plurality of orders received by the order book manager which have a price within the predetermined price threshold being matched at the predetermined price threshold against other orders of the plurality of orders which have a price beyond the predetermined price threshold. - View Dependent Claims (2, 3, 4, 5, 6)
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Specification