DIVERSE OPTIONS ORDER TYPES IN AN ELECTRONIC GUARANTEED ENTITLEMENT ENVIRONMENT

摘要

An enhanced system and method for handling, matching and executing a diverse group of limit-priced orders in an electronic options environment is disclosed. Most of the order types disclosed are automatically repriced and reposted as the NBBO changes to increase their execution opportunities. Market maker entitlements are integrated with the order processing, so that the market maker is guaranteed an allocation of the trade if the market maker is at the NBBO when an order priced at or better than the NBBO is received. Once posted to the order book, the displayed price of an order may be eligible for preferential execution in a market maker entitlement process, regardless of whether the displayed price is original or has been automatically repriced.

主权项

1. A market center which lists a plurality of options series and handles automatically repriceable orders, comprising:
(a) an order book for each option series and a market maker quote book for each option series which are maintained by an order matching engine; (b) an away market best bid and offer book that is separate from the order book and the market maker quote book and is maintained by an away market quote engine; (c) an interface for receiving orders, an interface for receiving quotes and an interface for receiving a top-of-book best bid and offer disseminated quotation from a plurality of away market centers for each option series; (d) a market center memory for storing code for analyzing and processing orders and quotes; (e) a processor for interacting with the interfaces and the engines and executing the code for analyzing and processing quotes and orders, wherein the code, when executed:
(e)(i) the interface for receiving a top-of-book best bid and offer disseminated quotation receives an away market quote from an away market center for a specified option series on the market center;(e)(ii) the away market quote engine analyzes the received quote to determine whether the away market quote has moved away from the price of an automatically repriceable order on the opposite side of the order book;(e)(iii) responsive to determining that the away market quote has moved away from the price of an automatically repriceable order on the opposite side of the order book:
(e)(iii)(A) the quote engine notifies the order matching engine;(e)(iii)(B) the order matching engine then evaluates the automatically repriceable order to determine whether the automatically repriceable can be repriced more aggressively; and(e)(iii)(C) responsive to determining that the evaluated automatically repriceable order can be repriced more aggressively, repricing the automatically repriceable order to the more aggressive price.