Determination of implied orders in a trade matching system

• US 8,442,904 B2
• Filed: 06/25/2012
• Issued: 05/14/2013
• Est. Priority Date: 01/08/2009
• Status: Active Grant

• Current Assignee: New York Mercantile Exchange Incorporated (CME Group Incorporated)
• Original Assignee: New York Mercantile Exchange Incorporated (CME Group Incorporated)
• Inventors: Sedlin, Aleksandr, Milne, Andrew Ferguson
• Primary Examiner(s): VEZERIS, JAMES A
• Application Number:
  US13/532,352
• Publication Number:
  US 20120265668A1
• Time in Patent Office: 323 Days
• Field of Search: 705/37, 705/35, 705/36.R
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A computer implemented method for determining implied orders in an electronic trading system is provided. The method comprises receiving a first set of one or more real orders, wherein the orders are not tradable against each other. One or more implied orders are identified within the first set of real orders. Market data corresponding to the implied orders can also be identified. At least one additional order is received and the tradability of the additional order is determined against the real or implied orders within the first set of real orders. A resting set of orders is determined from those real and implied orders within the first set of orders not affected by the tradability of the additional order. Implied orders are determined from within the set of resting orders.

Claims

1. A computer implemented method comprising:

receiving a plurality of real orders, wherein the real orders are not tradable against each other;

identifying, by a processor, a plurality of implied orders from the real orders;

determining, by the processor, bid/ask spreads for the implied orders;

filtering, by the processor, the implied orders to generate a first subset of the implied orders each having a bid/ask spread that is less than a threshold; and

publishing market data on the first subset of the implied orders and not the remaining implied orders.

2. The method of claim 1, further comprising:

determining a second subset of the implied orders each having a bid/ask spread that exceeds the threshold, wherein the second subset differs from the first subset; and

publishing market data on the second subset in response to determining that a number of messages exceeds a message count threshold.

3. The method of claim 1, wherein identifying of the implied orders comprises calculation of one or more shortest path trees using a shortest path algorithm.

4. The method of claim 3, further comprising terminating the shortest path algorithm based on the threshold.

5. The method of claim 3, further comprising determining a shortest path by the shortest path algorithm as a function of price path, price volume, and path time.

6. The method of claim 5, wherein the price path is a sum of prices in the shortest path.

7. The method of claim 5, wherein the price volume is based on a minimum volume of any component edge within the shortest path.

8. The method of claim 5, wherein the path time is based on a time priority number of any component edge within the shortest path.

9. The method of claim 1, wherein the threshold is common to a plurality of contracts.

10. The method of claim 1, wherein the threshold is different for each of a plurality of contracts.

11. The method of claim 1, wherein the threshold is based on a number of ticks between a best bid and a best ask.

12. A non-transitory computer readable medium storing instructions that, when executed, causes a computer at least to perform:

receiving a plurality of real orders, wherein the real orders are not tradable against each other;

identifying a plurality of implied orders from the real orders;

determining bid/ask spreads for the implied orders;

filtering the implied orders to generate a first subset of the implied orders each having a bid/ask spread that is less than a threshold; and

publishing market data on the first subset of the implied orders and not the remaining implied orders.

13. The computer readable medium of claim 12, further comprising:

determining a second subset of the implied orders each having a bid/ask spread that exceeds the threshold, wherein the second subset differs from the first subset; and

publishing market data on the second subset in response to determining that a number of messages exceeds a message count threshold.

14. The computer readable medium of claim 12, wherein identifying of the implied orders comprises calculation of one or more shortest path trees using a shortest path algorithm.

15. The computer readable medium of claim 14, further comprising terminating the shortest path algorithm based on the threshold.

16. The computer readable medium of claim 14, further comprising determining a shortest path by the shortest path algorithm as a function of price path, price volume, and path time.

17. An apparatus comprising:

a processor;

a memory storing instructions that, when executed by the processor, cause the apparatus at least to perform;

receiving a plurality of real orders, wherein the real orders are not tradable against each other;

identifying a plurality of implied orders from the real orders;

determining bid/ask spreads for the implied orders;

filtering the implied orders to generate a first subset of the implied orders each having a bid/ask spread that is less than a threshold; and

publishing market data on the first subset of the implied orders and not the remaining implied orders.

18. The apparatus of claim 17, further comprising:

determining a second subset of the implied orders each having a bid/ask spread that exceeds the threshold, wherein the second subset differs from the first subset; and

publishing market data on the second subset in response to determining that a number of messages exceeds a message count threshold.

19. The apparatus of claim 17, wherein identifying of the implied orders comprises calculation of one or more shortest path trees using a shortest path algorithm.

20. The apparatus of claim 19, further comprising determining a shortest path by the shortest path algorithm as a function of price path, price volume, and path time.