SYNTHETIC SPREAD TRADING

摘要

Synthetic spread trading strategies are represented and managed as homogeneous tradeable objects. Relationships between a synthetic spread and its constituent parts are defined and states for a spread are developed for accurately reporting, tracking and otherwise administering a synthetic spread and its constituent parts. A state of a synthetic spread is identified as working, pending, legged or filled. The states, in addition to identification of a synthetic spread's constituent parts, introduces information to allow a spread order and its post trade analysis to be consistently and effectively managed by multiple trading tools.