Systems and methods for determining implied spreads are provided. An example includes receiving a new order for a financial instrument and determining if the new order in combination with pending orders creates an implied spread. The implied spread may be submitted with information to facilitate matching the legs of the implied spread using the new order. The detection of the implied spread may be performed outside of a match engine; thus, permitting the detection to occur in parallel and apart from the operation of the match engine.
申请公布号
CA2730829(A1)
申请公布日期
2010.01.21
申请号
CA20092730829
申请日期
2009.03.30
申请人
CHICAGO MERCANTILE EXCHANGE, INC.
发明人
CALLAWAY, PAUL JOSEPH;GALSTER, BARRY LEE;STEUBER, NEIL;SIDDALL, JOHN JACOB