Determination of Implied Orders in a Trade Matching System

摘要

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.

主权项

1. An electronic trading system comprising:
a validator that checks the properties of the new order against established criteria; a database that stores orders; a match engine that receives orders from the validator and transmits orders to the database and that includes a processor; a computer-readable medium that contains computer program instructions that cause the processor to perform the steps comprising:
identifying a plurality of implied orders from the real orders that are not tradable against each other;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; andpublishing market data on the first subset of the implied.