| 摘要 |
The described technology creates an execution risk transfer (“ERT”) by transferring the risk of fulfilling a spread trade from a user or trader to another entity such as a trading firm or another user account. The described technology delivers or reports electronic market fills, proxy fills representing synthetic price risk transfers, or other instruments to users, which are executed at a desired spread level. The risk associated with the execution of the spread is managed by the technology and reduced at the electronic market(s), internal transfers, or other methods of risk reduction. |
| 主权项 |
1. A computer-implemented method comprising:
receiving, at a trading system running on one or more servers, a spread order,
wherein the spread order includes a target value and a desired quantity for purchasing the spread order,wherein the target value for the spread order represents a price based on a mathematical relationship between an ask price and a bid price for two or more market instruments on an electronic market; determining, using one or more processors of the trading system, a fulfillment value and a maximum fulfillment quantity at which the trading system will guarantee a fill of the spread order, based on:
the target value, a new bid price, and a new ask price,
wherein the new bid price and the new ask price are real numbers,wherein the new bid price and the new ask price are determined at least based on a liquidity of the two or more market instruments at a real-time market price, andwherein the liquidity considers a quantity of the two or more market instruments available at the electronic market at the new bid price or the new ask price; sending, via a network to a trading client, the fulfillment value and the maximum fulfillment quantity; receiving, from the trading client, an indication of acceptance to fill the spread order at the fulfillment value; and filling, in response to receiving the indication of acceptance from the trading client, the spread order at the fulfillment value. |
