RATIO SPREADS FOR CONTRACTS OF DIFFERENT SIZES IN IMPLIED MARKET TRADING

摘要

A method for matching orders is provided. The method includes receiving a first order for a product, the first order specifying a first volume, receiving a second order for the product, the second order specifying a second volume, wherein the first volume is different than the second volume, generating an implied order based on a ratio spread defined between the first order and the second order, and matching a third order with the implied order.

主权项

1. A computer implemented method comprising:
receiving, by a processor, a first order to trade a first quantity of at least a first contract, the first contract being characterized by an underlier and a first size indicative of a first volume of the underlier represented by the first contract; determining, by the processor, whether one or more other orders have been previously received which are counter to the first order and for at least a collective second quantity of a second contract or a combination of at least the first contract and the second contract, the second contract being characterized by the underlier and a second size indicative of a second volume of the underlier represented by the second contract, the second size being different from the first size; determining, by the processor, when the previously received one or more orders are for the second contract whether a first product of the first quantity multiplied by the first size is equivalent to a second product of the collective second quantity multiplied by the second size; and executing, by the processor, a trade between the first order and the one or more other orders when the first product is equal to the second product.