Transformation of a multi-leg security definition for calculation of implied orders in an electronic trading system
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United States of America Patent
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Mar 5, 2013
Grant Date -
Nov 29, 2012
app pub date -
Aug 10, 2012
filing date -
Sep 15, 2009
priority date (Note) -
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Abstract
An electronic trading system utilizes a Match Engine that receives orders, stores them internally, calculates tradable combinations and advertises the availability of real and implied orders in the form of market data. New tradable items defined as combinations of other tradable items may be included in the calculation of tradable combinations. A technique is disclosed for transforming a combination or strategy contract with an arbitrary number of buy and sell legs with an arbitrary volume ratio for each leg into a form that can be used for rapid implied order calculations.
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