Utilizing a trigger order with multiple counterparties in implied market trading

• US 8,417,618 B2
• Filed: 09/03/2009
• Issued: 04/09/2013
• Est. Priority Date: 09/03/2009
• Status: Active Grant

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Milne, Andrew, Sedlin, Aleksandr
• Primary Examiner(s): Dass, Harish T
• Assistant Examiner(s): Chencinski, Siegfried E
• Application Number:
  US12/553,351
• Publication Number:
  US 20110055067A1
• Time in Patent Office: 1,314 Days
• Field of Search: 705/37
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

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. Calculating tradable combinations or cycles for certain strategies becomes complex. Strategies that utilize legs having different volume ratios may form tradable combinations that will traverse a trigger order more than one time.

Claims

1. A computer implemented method of computing implied orders in an electronic trading system, the method comprising:

receiving a first real order;

receiving a second real order;

determining whether a first tradable combination can be formed including at least the first real order and the second real order;

executing, if the first tradable combination can be formed, a trade associated with the first tradable combination, using the electronic trading system;

adjusting, if the first tradable combination can be formed, at least one property of the first real order and the second real order;

calculating, if the first tradable combination can be formed, one or more first implied orders from the real orders after the at least one property has been adjusted;

calculating, if the first tradable combination cannot be formed, one or more second implied orders;

outputting either the first implied orders or the second implied orders to the electronic trading system;

receiving a third real order;

identifying, by an automated programmed computer, a second tradable combination including at least the first real order, the second real order, and the third real order, wherein the third real order is matched two or more times in the second tradable combination, wherein at least one of the first real order and the second real order comprises a plurality of legs at different volume ratios; and

executing a trade associated with the second tradable combination using the electronic trading system.

2. The computer implemented method of claim 1, further comprising:

outputting the trade associated with the first tradable combination; and

outputting the adjusted properties of at least one of the first real order and the second real order.

3. The computer implemented method of claim 2, further comprising:

adjusting the properties of the first real order, the second real order, and the third real order, used in the trade associated with the second tradable combination;

outputting the trade associated with the second tradable combination;

outputting the adjusted properties of at least one of the first real order, the second real order, and the third real order; and

calculating at least one third implied order that can be calculated from one or more of the first real order, the second real order, and the third real order.

4. The computer implemented method of claim 1, wherein the at least one property comprises trade volume.

5. The computer implemented method of claim 1, further comprising:

generating an execution report including at least one of the first tradable combination or the second tradable combination.

6. The computer implemented method of claim 1, further comprising:

translating data associated with at least one of the first real order, the second real order, and the third real order according to syntactic mapping of a modeling language.

7. The computer implemented method of claim 6, wherein the modeling language represents tradable instruments with nodes and edges in a graph and the calculating of tradable combinations of orders in these instruments is associated with the calculating of cycles in the graph.

8. The computer implemented method of claim 6, wherein the calculating of implied orders includes calculation of one or more shortest path trees including one or more nodes.

9. The computer implemented method of claim 1, further comprising:

assigning a priority to at least one of the first tradable combination and the second tradable combination.

10. The computer implemented method of claim 1, wherein the outputted representation of the implied order appears on a display.

11. The computer implemented method of claim 1, wherein the first real order is selected from the group consisting of a butterfly spread, a double butterfly spread, a crack spread, a crush spread, or a ratio spread.

12. An electronic trading system comprising:

a match engine order submission point configured to receive at least a first real order and a second real order;

a match engine processor configured to identifying a tradable combination and an implied order, wherein the tradable combination includes the first real order, the second real order, and a trigger order tradable with the implied order, wherein at least one of the first real order, the second real order, and the trigger order is used two or more times in the tradable combination; and

a reporting device configured to output a representation of at least one of the tradable combination and the implied order to the electronic trading system.

13. The electronic trading system of claim 12, wherein the match engine processor is further configured to identify a second tradable combination including the first real order and the second real order and the reporting device is configured to output an adjusted property of at least one of the first real order and the second real order.

14. The electronic trading system of claim 12, wherein the at least one property comprises trade volume.

15. The electronic trading system of claim 12, wherein the reporting device is further configured to generate an execution report including at the tradable combination.

16. The electronic trading system of claim 12, wherein the match engine processor is further configured to translating data associated with at least one of the first real order, the second real order, and the third real order according to syntactic mapping of a modeling language.

17. The electronic trading system of claim 16, wherein the modeling language represents tradable instruments with nodes and edges in a graph and the calculating of tradable combinations of orders in these instruments is associated with the calculating of cycles in the graph.

18. The electronic trading system of claim 12, wherein the match engine is configured to calculate implied orders includes by calculating one or more shortest path trees including one or more nodes.

19. The electronic trading system of claim 12, wherein the match engine processor is further configured to assign a priority to the tradable combination.

20. The electronic trading system of claim 12, further comprising:

a display in communication with the reporting device and configured to output a representation of the implied order.

21. The electronic trading system of claim 12, wherein the first real order is selected from the group consisting of a butterfly spread, a double butterfly spread, a crack spread, a crush spread, or a ratio spread.

22. A computer implemented method of providing implied orders in an electronic trading system, the method comprising:

receiving, by an automated programmed computer, a trigger order at a match engine;

identifying, by the automated programmed computer, a tradable cycle comprising the trigger order, a resting order, and a spread order, wherein the trigger order is used two or more times in the tradable cycle; and

outputting the tradable cycle to the electronic trading system.