AUTOMATED TRADING EXCHANGE SYSTEM HAVING INTEGRATED QUOTE RISK MONITORING AND INTEGRATED QUOTE MODIFICATION SERVICES
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United States of America Patent
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N/A
Issued Date -
N/A
app pub date -
Aug 10, 2012
filing date -
Dec 30, 1999
priority date (Note) -
Abandoned
status (Latency Note)
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Abstract
An automated trading exchange having integrated quote risk monitoring and quote modification services. An apparatus is implemented using at least one computer configured to receive orders and quotes, wherein specified ones of the quotes are contained in a quote group, and have associated trading parameters such as a risk threshold. The computer generates a trade by matching received orders and quotes to previously received orders and quotes, and then determines whether a quote within the quote group has been filled as a result of the generated trade, and if so, determines a risk level and an aggregate risk level associated with said trade. The computer then compares the aggregate risk level with the market-maker's risk threshold, and if the threshold is exceeded, automatically modifies at least one of the remaining quotes in the quote group. The computer may also automatically regenerate quotes that have been filled.
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