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 comprising at least one buy order and at least one sell order, each being for a quantity of one or more units of an item tradeable on an exchange, into at least one minimal set of at least one order subset, each order subset comprising at least one buy order for one unit and at least one sell order for one unit, the method comprising:
- converting, by a processor, each of the at least one buy order of the set of orders into a separate buy order for each unit of the respective quantity of the corresponding at least one buy order and, converting each of the at least one sell order of the set of orders into a separate sell order for each unit of the respective quantity of the corresponding at least one sell order of the set of orders, a unit order set comprising the separate buy and sell orders;
identifying, by the processor, each of the at least one minimal set as a unique set of order subsets of the buy and sell orders of the unit order set; and
computing, by the processor, at least one implied order based on at least one of 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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Accused Products
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.
139 Citations
29 Claims
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1. A computer implemented method of transforming a set of orders comprising at least one buy order and at least one sell order, each being for a quantity of one or more units of an item tradeable on an exchange, into at least one minimal set of at least one order subset, each order subset comprising at least one buy order for one unit and at least one sell order for one unit, the method comprising:
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converting, by a processor, each of the at least one buy order of the set of orders into a separate buy order for each unit of the respective quantity of the corresponding at least one buy order and, converting each of the at least one sell order of the set of orders into a separate sell order for each unit of the respective quantity of the corresponding at least one sell order of the set of orders, a unit order set comprising the separate buy and sell orders; identifying, by the processor, each of the at least one minimal set as a unique set of order subsets of the buy and sell orders of the unit order set; and computing, by the processor, at least one implied order based on at least one of 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 comprising at least one buy order and at least one sell order, each being for a quantity of one or more units of an item tradeable on an exchange, into at least one minimal set of at least one order subset, each order subset comprising at least one buy order for one unit and at least one sell order for one unit, 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; 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 each of the at least one buy order of the set of orders into a separate buy order for each unit of the respective quantity of the corresponding at least one buy order and convert each of the at least one sell order of the set of orders into a separate sell order for each unit of the respective quantity of the corresponding at least one sell order of the set of orders, a unit order set comprising the separate buy and sell 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 each of the at least one minimal set as a unique set of order subsets of the buy and sell orders of the unit order set; and an implied order generator computer program stored in the memory and coupled with the minimal set comparator computer program and executable by the processor to cause the processor to compute at least one implied order based on at least one of 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 comprising at least one buy order and at least one sell order, each being for a quantity of one or more units of an item tradeable on an exchange, into at least one minimal set of at least one order subset, each order subset comprising at least one buy order for one unit and at least one sell order for one unit, the system comprising:
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means for converting each of the at least one buy order of the set of orders into a separate buy order for each unit of the respective quantity of the corresponding at least one buy order and converting each of the at least one sell order into a separate sell order for each unit of the respective quantity of the corresponding at least one sell order of the set of orders, a unique order set comprising the separate buy and sell orders; means for identifying each of the at least one minimal set as a unique set of order subsets of the buy and sell orders of the unit order set; and means for computing at least one implied order based on at least one of 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