Transformation of a multi-leg security definition for calculation of implied orders in an electronic trading system
First Claim
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1. A computer implemented method of generating an implied order, the method comprising:
- receiving, by a processor, an order to buy and an order to sell, each being for an associated quantity of an item of a plurality of items tradeable on an exchange, wherein the associated quantity of the order to buy may be different from the associated quantity of the order to sell;
converting, by the processor, the order to buy and the order to sell into a unit order set comprising a separate buy order for each of the associated quantity of the order to buy and a separate sell order for each of the associated quantity of the order to sell;
identifying, by the processor, at least one minimal set comprising a unique subset of the unit order set; and
computing, by the processor, based on the at least one minimal set, the 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.
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Citations
29 Claims
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1. A computer implemented method of generating an implied order, the method comprising:
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receiving, by a processor, an order to buy and an order to sell, each being for an associated quantity of an item of a plurality of items tradeable on an exchange, wherein the associated quantity of the order to buy may be different from the associated quantity of the order to sell; converting, by the processor, the order to buy and the order to sell into a unit order set comprising a separate buy order for each of the associated quantity of the order to buy and a separate sell order for each of the associated quantity of the order to sell; identifying, by the processor, at least one minimal set comprising a unique subset of the unit order set; and computing, by the processor, based on the at least one minimal set, the 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 generating an implied order, 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 an order to buy and an order to sell, each being for an associated quantity of an item of a plurality of items tradeable on an exchange, wherein the associated quantity of the order to buy may be different from the associated quantity of the order to sell; 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 order to buy and the order to sell into a unit order set comprising a separate buy order for each unit of the associated quantity of the order to buy and a separate sell order for each unit of the associated quantity of the order to sell; 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 an implied order generator computer program stored in the memory and coupled with the minimal set identifier computer program and executable by the processor to cause the processor to compute, 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 generating an implied order, the system comprising:
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means for receiving an order to buy and an order to sell, each 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 may be different from the associated quantity of another order; means for converting the buy and sell orders into a unit order set comprising a separate buy order for each unit of the associated quantity of the buy order and a separate sell order for each unit of the associated quantity of the sell order; means for identifying at least one minimal set comprising a unique subset of the unit order set; and means for generating at least one implied order 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