System and method for electronic spread trading in real and synthetically generated markets

摘要

A system and method are provided to analyze synthetic and real markets that offer interchangeable tradable objects to find market opportunities that a trader may capitalize on. A synthetic market is an electronic market created out of real markets by a computer terminal or gateway. A real market is an electronic market that is offered by an electronic exchange. If a desirable market opportunity is found, the preferred embodiments can take action such as by sending orders to either one of the markets, or by sending orders to both markets. An advantage of the preferred embodiments, among many others, is that they can make “invisible” trading opportunities more readily apparent.

主权项

1. A method including:
determining by a computing device a first price for which a spread can be bought or sold in a first spread market and a second price for which the spread can be bought or sold in a second spread market, wherein the spread is associated with a first real market and a second real market, wherein the first and second real markets are offered by at least one electronic exchange, wherein the first spread market and the second spread market offer interchangeable tradable objects, wherein the first spread market is a synthetic spread market that is generated outside of an electronic exchange and associated with the first real market and the second real market, wherein the second spread market is an exchange-provided spread market that is also associated with the first real market and the second real market; determining by the computing device, in response to receiving a command to buy or sell the spread, whether to buy or sell in the first spread market, buy or sell in the second spread market, or buy or sell in both the first and second spread markets based on the determined first price and the determined second price; and sending by the computing device, in response to receiving the command, one of:
a first spread market order for at least one of the first and second real markets when it is determined to buy or sell in the first spread market,a second spread market order for the exchange-provided spread market when it is determined to buy or sell in the second spread market, ora first spread market order for at least one of the first and second real markets and a second spread market order for the exchange-provided spread market when it is determined to buy or sell in both the first and second spread markets.