| 摘要 |
An electronic trading system is configured to create speculative orders based on real orders. The speculative order differs from the real order by the price, quantity, or the type of financial instrument. The match engine chooses one or more speculative orders in an attempt to predict the next real order. Even though processing multiple trades at the same time is impossible, the use of speculative orders can permit the match engine to perform the calculations involved with the trade and generate the messages associated with the trade ahead of time. If the prediction was correct and the next order received by the match engine corresponds to one of the speculative orders, some of the matching activity has already been performed. This in effect, allows the match engine to process trades more efficiently and increases the total trading volume that can be handled by the electronic trading system. |
| 主权项 |
1. A computer implemented method of matching orders, the method comprising:
receiving, by a processor operative to execute program logic stored on a computer readable medium, a first real order; generating, by the processor responsive to a determination that the first real order has not been filled by one or more previously received but unfilled orders counter thereto, at least one speculative order which corresponds to at least one other real order that is counter to the first real order and which is predicted to be, but not yet, received; commencing, by the processor based on the at least one speculative order, performance of at least a portion of calculations involved with matching the first real order with the yet-to-be received corresponding at least one other real order, as if it had been received, and generating a plurality of messages associated therewith; receiving, by the processor subsequent to at least the generating of the at least one speculative order, a second real order corresponding to one of the at least one speculative order; and executing, by the processor, a trade based on the second real order and the first real order, the executing comprising utilizing the plurality of messages generated by the processor. |
