AUTOMATED TRADING SYSTEM IN AN ELECTRONIC TRADING EXCHANGE

摘要

An electronic exchange system network includes a trader site having an automated trading system capable of submitting orders to an exchange site. The automated trading system determines whether an order should be submitted based on, for example, the current market price of an option and theoretical buy and sell prices. The theoretical buy and sell prices are derived from, among other things, the current market price of the security underlying the option. A look-up table stores a range of theoretical buy and sell prices for a given range of current market price of the underlying security. As the price of the underlying security changes, a new theoretical price may be indexed in the look-up table, thereby avoiding calculations that would otherwise slow automated trading decisions. In addition, a system of checks may be conducted to ensure accurate and safe automated trading.

主权项

1. An automated trading system for use in an electronic exchange system network, comprising:
a receiver interface that receives market price information for a first traded item from an exchange; data reference logic that outputs a transaction value for the first traded item from a data structure based on price information for a second traded item related to the first traded item; decision logic using at least a portion of the received market price information and the transaction value to generate a decision whether to submit an order for the first traded item; and an output interface for outputting a request for market transaction for one of the first traded item and the second traded item for transmission to the exchange in response to said decision logic.